The veteran midfielder scored the only goal of the game as champions Manchester City beat rock-bottom Leicester City 1-0 at the King Power Stadium on Saturday.
Lampard has now scored 175 Premier League goals, the same tally achieved by legendary Arsenal striker Henry.
And the 36-year-old, who is on loan from MLS outfit New York City FC, is thrilled to have equalled one of the icons of the Premier League era.
"I'm very happy with it, I thought it was going to be out of my reach," Lampard told BBC Sport.
"I have respect for Henry, he is one of the greatest in Premier League history and to be up there with him his incredible."
Lampard's sixth City goal, which came five minutes before the break, helped City record a seventh consecutive victory in all competitions.
The former Chelsea man admitted Manuel Pellegrini's team were not at their best, but believes they did more than enough to leave with all three points.
"Those are the kind of games we need to get results, we needed to grind them out. We were not at our best but got three points," Lampard added.
"I've watched Leicester and seen even though they are down near the bottom, they are not short of passion. They showed that today.
"We were nowhere near the force we can be sometimes, but you have to show two sides to your game and I think we did that today."
