Lampard, 34, has been at the Premier League side since 2001 and is in the final season of his current deal.
"I am thinking about my coaching badges now but there is only one club I want to manage," Lampard told a UK tabloid newspaper on Wednesday.
"I know it might sound a bit big-headed or selfish but I wouldn't want to go through 'showing myself' with a lower club.
"Although I would never expect to walk into a position such as the Chelsea manager, this is the only club I'd want to manage," he said.
"I'd love to have a crack at it but I'd want to do well.
"I wouldn't want the supporters to forget everything I've tried to do as a player because I can't manage the team," added Lampard, who captained Chelsea to victory in the Champions League final against Bayern Munich in May and has won League titles and FA Cups with the club.
He has played under several managers at Stamford Bridge, including Claudio Ranieri, Jose Mourinho, Guus Hiddink and Carlo Ancelotti.
"Without a doubt I've picked up good things as well as some things that I'd do differently," Lampard said as reported by The Sun.
"The main thing I've learned is how to treat people properly.
"It's important to respect the players and by doing so, hopefully, you'll earn their respect back."
Get the best features, fun and footballing frolics straight to your inbox every week.
Thank you for signing up to Four Four Two. You will receive a verification email shortly.
There was a problem. Please refresh the page and try again.