The Belgium international has been a big hit at Villa since his £8m move from Genk.
As a result, he has been linked with a number of Premier League rivals but Lambert says the days of star players leaving the club must end.
Villa have sold key players such as Gareth Barry, James Milner, Ashley Young and Stewart Downing in recent seasons.
Lambert said: "There's no point in us even being here if it's a case of bringing people in and then letting them go.
"What's the point in that? We're trying to build something here which can take a few years and you need good players with you to achieve that.
"There's no point in them coming for half a season or a year and then we let them go. That's not the right way."
Lambert will look to strengthen his squad next month: "That's the plan, to look at that. I will talk and see what we have. I don't think you stand still. I think you've got to look to improve."
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