Lampard is out of contract at the end of the season and there has been no sign of the Blues offering him a new deal.
Friday morning saw club captain Terry post a picture of him and Lampard holding the FA Cup on his Instagram account accompanied by the comment: "Devastated is an understatement. We should retire the number 8 shirt in honour of Lamps. #theheartbeat #hero #legend #hero #goalmachine #friend #ktbffh (keep the blue flag flying high) #cfc #chelsea."
Press Association Sport understands Terry was reacting to quotes attributed to Lampard's agent, Steve Kutner, in the Italian media in which he reportedly said the midfielder would definitely be leaving Stamford Bridge this summer.
Kutner has since denied giving any such interview.
However, barring a dramatic U-turn by Chelsea, Lampard will have to find himself a new club next season.