The Blues lost 1-0 at home to Valencia a fortnight ago and Lille lost 3-0 away to Ajax.
“I thought Valencia wasn’t the worst game for us. It was a harsh lesson in switching off for a second and losing a match at this level,” Lampard said at the pre-game press conference.
“I think that idea ramps up when you travel away from home in the Champions League and play at stadiums like this against top European teams.
“Lille have a lot of threats to us, particularly in forward areas where they have a lot of speed,” he said of a side who finished second in Ligue 1 last season but have since sold several leading players including forward Nicolas Pepe, who joined Arsenal.
“It is not the be all and end all, there are four more games after this and we have to look at the big picture, but as we sit here now with no points, it is certainly a game we have to be very ready for to try to pick up something.”
Chelsea have won their last two matches, including a 2-0 victory against Brighton and Hove Albion on Saturday which left the young Chelsea seventh in the Premier League.
Lampard said: “Hopefully we can bring the confidence from the last two results we have had, two really solid wins, and bring it into tomorrow night.
“We have to trust that if we play to our best then we will get the result we want.”
Fikayo Tomori and striker Tammy Abraham, both 21, will both hope to keep their places against Lille along with 20-year-old midfielder Mason Mount.