Veteran striker Didier Drogba was Chelsea's hero in Saturday's Champions League final as the Ivory Coast star equalised to make it 1-1 after 90 minutes before scoring the winning goal in the penalty shoot-out.
Before the final, Bayern coach Jupp Heynckes had backed the Germans to prevail if the game was decided by penalties and England's Lampard said he was just happy to enjoy a rare shoot-out win against German opposition.
"I thought we would win once it went to penalties, simply because you can't lose too many times," said the 33-year-old after Chelsea lost the 2008 Champion League final to Manchester United in Moscow on penalties.
"I have lost penalties with England and we lost the penalties in Moscow, but sometimes you have the momentum with you and tonight I felt that.
"We worked on penalties in training on Wednesday and Thursday, it's a confidence issue and sometimes you can over think it.
"It was a facet of the game and with the momentum, I didn't think we were going to lose on penalties, which is strange against a German team.
"I hear a couple of quotes from them about penalties saying they were quite confident and that is what you want to hear before a game, because those sort of words always come back to haunt you."
Having joined Chelsea in 2001, Lampard said he was delighted to lift the trophy as the Blues were crowned European champions for the first time in the club's history.
Lampard took over the captaincy from suspended skipper John Terry and the pair collected the trophy together after the dramatic penalty shoot-out.
"It's a huge, huge night for the club, I think the emotions were there to be seen on the pitch," he said.
"We were still out there an hour later, because we have waited so long for this."
The Blues booked their place in the final by beating previous holders Barcelona over two legs in the semi-final having also seen off Benfica and Napoli in the knock-out stages.
Chelsea were two minutes from losing the Munich final before Drogba's equaliser cancelled out Thomas Mueller's second-half header for Bayern and Lampard admitted doubts had started to creep in.
Bayern were awarded a penalty in extra time after Drogba fouled France wing Franck Ribery, but after Dutch winger Arjen Robben fired the spot-kick wide, Lampard said he felt the match turned in Chelsea's favour.
"At 1-0 down with a few minutes to go, the thought goes through your mind, especially after the graft we have put in," admitted Lampard.
"You wonder if this isn't going to be your night, because losing a final is the worst thing in the world, regardless of what has gone before.
"But the spirit in the team showed and I have never seen the same level of focus as we brought here.
"We carried on from Barcelona and you get the feeling your name is on the cup.
"We came here to their home stadium and defended for our lives, I think when Robben missed the penalty, people thought 'hang on, a minute this could be our night'."
Never doubted penalty win over Bayern: Lampard
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