The players were told not to come to the training ground until Monday afternoon as Lampard becomes the 10th manager sacked during the Roman Abramovich era.
Confirmation of his sacking came just before 11.30 am on Monday after the club took decisive action following a torrid run of five losses in eight league games.
Abramovich described Lampard as a 'man of great integrity' in the statement confirming his dismissal but added: 'Under current circumstances, we believe it is best to change managers.'
Sunday's win over Luton Town to advance to the FA Cup's fifth round hasn't proved enough to save the former midfielder from the chop.
The former Paris Saint-Germain and Borussia Dortmund manager Thomas Tuchel is in a prime position to replace Lampard with talks at an advanced stage.