Saturday's final ended 1-1 at the Allianz Arena and after missing their first kick in the shootout, Chelsea battled back to win it 4-3.
"I admit when we were trailing 1-0 with about a minute left, I wasn't so sure," said Lampard.
"Once it went to penalties, I thought there was no way we were going to lose. I thought, we are going to win this."
Lampard's confidence was remarkable given the circumstances.
Bayern had never lost a penalty shootout in Europe, Chelsea had never won one, and the German side were at home and taking the spot-kicks in front of their own fans after captain Philip Lahm won the toss.
A glance through the record books showed no English team had beaten a German one on penalties either.
But Lampard said the heartbreak of losing in the final four years ago to Manchester United on penalties spurred his team to victory.
"It wasn't going to be a repeat of Moscow, we couldn't have stood that again," he added.
Thomas Muller headed Bayern ahead in the 83rd minute before Didier Drogba made it 1-1 in the final two minutes. The night still seemed to be heading Bayern's way when they moved 3-1 ahead in the penalty shootout after Juan Mata missed Chelsea's first spot-kick.
However, Ivica Olic missed for Bayern and when Schweinsteiger struck the post the stage was set for Ivorian Drogba to write his name into Chelsea folklore and stun Bayern's supporters into shocked silence.
Chelsea not only stopped Bayern winning the title for a fifth time, they also became the first London side to win Europe's top club competition in its 57-year history and the third English team to beat Bayern after Aston Villa in 1982 and Manchester United in 1999.
Lampard continued: "I really wasn't sure there was a way back and I was thinking well, perhaps it wasn't meant to be after all... then Didier equalised with a minute to go and Petr [Cech] saved Arjen Robben's penalty in extra time and I thought, 'we are going to do this'.
"And when the penalties started I was sure."
The 33-year-old heaped praise on Drogba, whose contract is set to expire and could well have played his last match for the club.
"I have to say, Didier was the main man tonight, and he dug us out of a hole there.
"The man is a Chelsea legend, he is a hero, without him we're not here. He scores the goals in the big games."
Asked if this victory could mark the break-up of a side that have largely been together for most of the last decade, he said: "No, I don't see why it should.
"Teams are always changing, but why should we stop now? We want to carry on, move fowards. We've won the FA Cup and now the Champions League and the determination and spirit we have shown, its been fantastic."
