Spain winger Pedro came off the bench as the Blues beat Wolves 2-0 at Stamford Bridge on Sunday, to secure a fourth-place Premier League finish.
The 32-year-old Pedro will be on hand for the FA Cup final against Arsenal and the Champions League last-16 second-leg trip to Bayern Munich.
The former Barcelona player has for some time been expected to join Roma for next season, and Blues boss Lampard has now confirmed his impending west London exit.
"The lads have just pretty much serenaded Pedro in the changing room and rightly so because of the career he has had generally, and for this club," said Lampard.