Klopp announced on Wednesday that he will leave Dortmund at the end of the season after seven years in charge of the Bundesliga club.
The charismatic German has been linked with a move to Manchester City, and Arsenal has been mentioned as a possible destination for him in the past.
Former Dortmund midfielder Lambert expects his good friend Klopp to be in demand, but would not raise eyebrows if he opts against plying his trade in England.
He told BBC Radio 5 live: "I wouldn't expect it. It wouldn't surprise me if he never came.
"He's going to be in demand from a lot of countries and he will be a big name for a lot of teams."
Ex-Aston Villa manager Lambert, however, thinks Klopp would be suited to the Premier League if he does decide to go down that route.
He added: "If you ask me 'would he come to England?' I think he would because obviously he knows the language, he's a clever guy.
"I think he will be great for the Premier League, because of the way he is.
"He's got the mentality of a British coach - I also think he's very clever. I don't think he'd have any problem adapting to British football."
