The former Blues manager appeared stunned by Mauricio Pochettino's untimely exit this summer.
Pochettino oversaw the club finishing sixth in the Premier League and reaching two cup finals.
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I was sat next to Blues' legend Frank Lampard at the League Managers' Association awards dinner on Tuesday night and when the news broke that Poch had been sacked a look of utter disbelief spread across his face," former Liverpool striker Robbie Fowler wrote in a column for the Daily Mirror.
Frank wasn't the only one in the room who was shocked."
Lampard was put in caretaker charge by the club's ownership for the end of the 2022/2023 season, after Graham Potter was sacked.