The Blues came within one penalty kick of ending their quest in 2008 when they were beaten by Manchester United in a dramatic final in Moscow.
England midfielder Lampard, whose equaliser that night ensured a shootout, has also been on the losing side in four semi-finals in the past seven years.
Agony: Lampard consoles John Terry after his crucial penalty miss cost Chelsea dear in the 2008 European Cup final against Manchester United
And despite having won three Premier League titles, three FA Cups and two League Cups over the same period, the 32-year-old insists his medal collection will not be complete until he adds a Champions League gold.
'I have won three leagues and quite a lot of the group have won one or more,' Lampard told Chelsea TV.
'But we have been so close to the Champions League, it does become a bit of a Holy Grail and I think the fans feel that.
'I would never ever go into a season without the first thing on my mind being the Premier League.
'To win domestically is the biggest thing for me but I don't want to finish my career with five Champions League semi-finals and a final but with no medal.
'It is huge but it is such a difficult competition to win.
'Every year, you play group games before Christmas and you start again in February and you might have injuries or you might be losing form.
'We played Inter Milan last year at a time when we were down, so there are so many little bits that have to come together for you to win it and that is what we are waiting for, that final little bit that we have missed.'
Lampard is convinced Chelsea would have gone on to lift the Champions League last season had they overcome eventual winners Inter in the last 16.
Desperate to win the big one: Lampard in action against Inter Milan last season
He said: 'Look at us in the league last year. We were on a run at the end, beating teams by six or seven goals and if we could have translated that into the Champions League last year, if we had got through those Inter Milan game and gone on and played the way we were playing at the end of the season, I think we would have won the Champions League.
'I really believe that because we were playing so well, so it is about form and fitness. You need your big players.
'You can't win the Champions League without your big boys, simple as that, no team can.'
Lampard missed all of Chelsea's group games this season through injury but is determined to make up for lost time when the knockout stage begins next month.And, unlike last year, the Blues have been handed the easiest possible draw in FC Copenhagen.
Lampard said: 'When you get to the last 16, you feel the eyes of the world are watching it.
'It is what all the kids like, it is the ultimate club competition.
'I have a goal in a losing final and that is nice in a small way for me but that drives you on more to want to be part of a winning final.'
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