The 34-year-old midfielder is out of contract at the end of the season and has been linked with several clubs in MLS as well as China. But reports suggested that Lampard could be heading towards Italy with Lazio and Inter Milan.
Chelsea are reluctant to offer a new contract and are ready to part ways with the England veteran at the end of the season. The players agent Kutner had mentioned he would be leaving the club when his contract expires in the summer.
"At this moment, Lampard is exclusively thinking about the present, in other words Chelsea. As for the future, the only certainty is that he will change team at the end of the season," Kutner was quoted as saying in Cittaceleste.it.
But the agent denied any such reports and told BBC 5Live radio that he "hasn't spoken to anybody about Lampard's future and hasn't given any interview about it."
Chelsea have a policy of not offering long-term contracts to players above the age of 30 and Cole, 31, has already rejected a 12-month deal with the club. The England left-back has been linked with French giants Paris-Saint Germain and Manchester United.