Lampard, 47, guided Coventry to promotion and the division title in his first full season in charge and was asked directly at his pre-match press conference whether the vacancy at Stamford Bridge was tempting.
"I'm Coventry manager, I'm enjoying my moment of us being promoted and winning the title, and that's it," he told reporters.
He declined to comment directly on the circumstances of Liam Rosenior's dismissal, citing respect for a fellow manager. "I definitely don't want to talk about Liam and Chelsea because I've been there and I never want to talk too much about managers because of context behind the scenes. I think it's disrespectful to have a judgement on it."
On Chelsea's form: "It's a difficult patch, for sure, and we as managers know that in those difficult patches the consequences that can be. Chelsea's a big part of my life but at the moment it's their business and my business is here."
Lampard joined Coventry in November 2024 and has one year remaining on his contract. Asked whether any renewal discussions had taken place with chairman Doug King, he said: "There have been no discussions, so I'm just getting on with my job and enjoying these last couple of weeks."
Coventry face Wrexham on Sunday in their final home game, after which Lampard and his squad will be presented with the Championship trophy.