Lampard scored 211 goals in 649 appearances for the Blues, making him the club's all-time record scorer.
He admitted it was a wrench to leave Chelsea after so many happy memories and he paid tribute to former chairman Ken Bates, who was in charge when he was signed from West Ham in 2001, and current owner Roman Abramovich, whose huge cash injection transformed the team into a European superpower.
"When I arrived at this fantastic club 13 years ago 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 in a statement released by his agent.
Lampard thanked Bates for signing him and paid tribute to his successor.
"Roman Abramovich, the man who saved our club and took us all to new levels. His desire to push the club to the top of the football world has rubbed off on everyone," Lampard said.
"All the managers and coaches who have helped me develop my game during the time I have been here. I have learned from every one of them."
The 35-year-old's long and successful stay in west London has left him well established as a Chelsea legend after winning three Premier League titles, the Champions League, the Europa League, four FA Cups and two League Cups.
Despite his age, Lampard remained a key member of Jose Mourinho's squad this season and made 40 appearances, scoring eight goals in all competitions.
He is currently in Miami with the England squad preparing for friendlies against Ecuador and Honduras ahead of their World Cup campaign in Brazil and it is believed he will wait until after the tournament before he decides his future.
Lampard's exit is likely to signal the end of an era for Chelsea, with long-serving left-back Ashley Cole also set to leave when his contract expires.
"The club will move forward, and as a Chelsea man I have no doubt that with the quality of the players that are there, they will continue with the success that we have all enjoyed over the past seasons," Lampard said.
- AAP
