Chelsea lost 3-2 on the night in Moscow, but an early goal from Fernando Torres and a second-half strike from Victor Moses were enough to see them through with a 5-4 aggregate win.
With the Blues set to face Manchester City in the FA Cup semi-final on Sunday, interim boss Rafael Benitez made a number of changes to his team - leaving out Juan Mata and Eden Hazard - but still featured the likes of Petr Cech, John Terry and Lampard.
"People talk (the Europa League) down at different times but when we get out there we're very professional and the closer we get to the final the more special it gets," said Lampard.
"Every game is difficult at the moment but we've got a big squad. Playing every few days has got to be a compliment to us, we've reached the semi-final and now we want to get to the final."
Torres opened the scoring after just three minutes with a long lob after being picked out by Lampard as Chelsea hit their hosts with a swift counter-attack.
The ball almost bounced over the bar on the artificial pitch, but just dipped in time.
"It was a great finish," said Lampard. "It's not easy, running at that pace with a defender behind you and the goal in front, but he finished it well and he's in good form at the moment."
After Moses put them 2-1 in front on the night it looked like game over but Rubin fought back and took the lead with a penalty which looked soft as substitute Vladimir Dyadyun went down off Cesar Azpilicueta.
"I couldn't believe he gave it really," added Lampard. "The fella played for it, I couldn't believe but the game was out of sight by then."