The midfielder, who will depart as record goalscorer at Stamford Bridge with 211 strikes, has been heavily linked with a move to the United States and the new MLS side New York City.
"When I arrived at this fantastic club I would never have believed that I would be fortunate enough to play so many games and enjoy sharing in so much success," Lampard said. "This club has become part of my life."
Meanwhile, Rickie Lambert has sealed the move he always wanted, describing his arrival at Liverpool from Southampton for £4m as "a dream". The striker has signed a two-year deal at Anfield.