Lampard, who joined the Blues in 2001, is entering the last year of his contract and has been heavily linked with a move to Los Angeles Galaxy.
The 34-year-old England midfielder has previously expressed his desire to extend his stay at Stamford Bridge but suggested on Monday he had yet to open talks with the club over his future.
After captaining Chelsea in their pre-season friendly against Paris St Germain, the first football match ever at the new Yankee Stadium, Lampard was asked about a potential move to Major League Soccer.
"I'm not sure. I have another year on my contract at Chelsea, " said the man who captained the Blues to Champions League glory in May. "We have a big season. We play in the Super Cup and the World Club Championship in December.
"Then it's up to Chelsea. If they want to speak with me about my future, then I'll speak with them. I wouldn't rule anything out at the moment."
Pressed on whether he was on his way to America, Lampard replied: "Not at the moment, no, because I have a contract with Chelsea. Beyond that, I don't know."