Lampard has been linked with a host of clubs from LA Galaxy to French side Monaco and his agent Steve Kutner had been quoted as saying that he would be open to a move to Italy, with Lazio a potential option.
"At this moment, Lampard is exclusively thinking about the present, in other words Chelsea," Kutner was quoted as saying by Cittaceleste. "As for the future, the only certainty is that he will change team at the end of the season.
"Frank wants to play for a great side, capable of challenging for important targets and where he could win more trophies. We won't rule anything out. The only thing that counts is that the player is happy and can continue playing at a high level.
"A champion of Lampard's calibre deserves the biggest stage. Serie A? Why not? Only time will tell if Lazio could be the ideal destination."
But Kutner has since denied that the interview took place, and insisted that the quotes surrounding the midfielder's future are false.
He told BBC Radio that he "hasn't spoken to anybody about Lampard's future and hasn't given any interview about it".