Karim Benzema and Marco Asensio scored the goals as the European champions took a commanding lead heading into next week’s second leg in west London.
Ben Chilwell was sent off for the Blues, who again were made to rue a number of missed chances.
Joao Felix and Raheem Sterling both went close before Mason Mount saw a late shot blocked by former teammate Antonio Rudiger.
Still, Lampard is confident his team can turn the tie around.
Chelsea managed to overcome Borussia Dortmund in the first leg to tee up their meeting with the 13-time Champions League winners but few would doubt doing so against Madrid is a much more difficult ask.
“There are some good things but the result is the reality,” Lampard told BT Sport.
“I just said to the players, ‘special things can happen at Stamford Bridge’.
“They’re a very good team but we have to believe.”
Madrid travel to Chelsea on Tuesday as they look to book a semi-final berth against either Bayern Munich or Manchester City.
