The first sickening setback came two years ago in that fateful Champions League final in Moscow when Chelsea were just a penalty kick away from being crowned kings of Europe.
Then more pain and anguish followed in last season's semi at Stamford Bridge when Andres Iniesta's injury-time equaliser for 10-man Barcelona left Chelsea feeling cursed once again.
Both were unbelievably dramatic, both unbearably traumatic and both will drive Lampard on as the Blues begin their latest quest for the elusive Champions League title this week.
Lampard confessed: "I don't know if Barcelona was worse than Moscow or not but to me they are both right up there because of the circumstances inolved.
"Both were so hard on us, so cruel on us. To lose out in that semi-final against Barcelona in the manner we did was certainly tough to take.
"Barca were the stand-out team last year and yet we deserved to beat them. Simple as that. Maybe at the Nou Camp we defended but at home we definitely deserved to win the game and go through so it was extremely disappointing.
"And in Moscow against United it was so, so frustrating, a freak slip right at the wrong moment.
"If that one brief moment had gone differently we would have won it. But there's nothing you can do about it after the event.What's gone has gone."
So Chelsea must put the despair of John Terry's penalty miss behind them and look to the future as they prepare to welcome former European champions Porto to the Bridge on Tuesday to kick off their latest campaign.
The Blues boast five semi-finals and one final in the last six years - but no trophy. So does Lampard, 31, feel incomplete without the one big club trophy that has escaped him?
He said: "No I wouldn't say I'd feel incomplete if I didn't ever win it. I would still be very proud of what I have done both individually and what we have achieved together as a team.
"I'd look back with pride on all the domestic titles and cups we have won. For me they are huge successes to look back on. I know there are a lot of great players who don't get anywhere near that sort of success.
"Obviously it would also be a great achievement to go all across the board in terms of titles and lifting the Champions League trophy is the big European one.
"But it's certainly not going to be any easier this year, that's for sure. And we all know and realise that.
"Hopefully, though, I have got a good few years yet to have a crack at it so it's not something I think about and worry about all the time.
"Yes, it is disappointing every year when it doesn't happen. And clearly we want to win it one day so every year it comes around we put everything in to trying to win it. But if it doesn't happen, it doesn't happen.
"Sometimes a big, bad stroke of luck at the wrong time can put you out. That's the nature of Champions' League."
And no-one realises that better than Lampard.
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