Lampard, who joined Chelsea from West Ham in 2001, celebrated his 19th-minute header in front of the away end along with substitute John Terry and his team-mates, with missiles hurled in the players' direction from the visiting support.
A Met Police spokesperson said: "We are investigating instances of coin-throwing at Chelsea versus West Ham on Sunday, March 17.
"There have been no arrests. Inquiries continue."
The incident could lead the Football Association to take disciplinary action.
CCTV footage will be studied to identify the offenders and the clubs will work together following the incident during Chelsea's 2-0 Premier League win.
A West Ham statement read: "West Ham United will be working with Chelsea to investigate the reports of missile throwing during Sunday's game at Stamford Bridge.
"Any individual found to have acted in an inappropriate way will have to face the consequences of their actions, including the possibility of a ban from attending future matches."
There have been previous incidents of coin-throwing during the fixture.
In October 2004, Mateja Kezman was hit by a coin while playing for Chelsea against West Ham in a League Cup tie.