The Blues face an important week in their hunt for a trophy this term, with Thursday's first leg of the Europa League last 32 at Sparta Prague followed by a FA Cup fourth-round replay with Brentford on Sunday.
Realistically those are the only trophies last year's European champions can win this term, as they trail Manchester United by 16 points in the Barclays Premier League.
"At the minute the season hasn't been successful," Lampard told Chelsea TV.
"We should be challenging for titles rather than third or fourth, but we're not. And we've not won some cups, we've been knocked out.
"We have to grab the fact that there's a lot of games to play and we have to try to win something."
There have been contradictory reports over whether Blues owner Roman Abramovich is prepared to offer Lampard a new contract to extend his 12-year stay beyond the end of the season.
Whether he stays or goes, Lampard has continued to perform, with a goal in each of his last four games to move within four of the club's goalscoring record.