The Spaniards were well organised all evening and kept Chelsea at arms’ length for long spells before Rodrigo put them in front 16 minutes from full-time.
Ross Barkley had the chance to earn a draw for his side, but the midfielder saw his penalty clip the crossbar and go high into the stands.
It was Chelsea’s first home loss in European competition for three years, while Lampard’s side have yet to win on their own patch this season.
A miserable night for the home side, who also lost Mason Mount in the first half following a heavy tackle for former Arsenal midfielder Francis Coquelin.
Chelsea started quite brightly, with the lively Tammy Abraham forcing a couple of saves from Jasper Cillessen.
Pedro and Willian were causing concern for Valencia on the ball, with the Brazilian almost opening the scoring on 35 minutes after a mazy run ended with him firing a shot across goal and just wide.
Willian again was on the scene to collect a lofted pass from Mateo Kovacic before the break but, off balance, he couldn’t keep his shot down. His third and final chance, in first-half stoppage time, was parried away by Cillessen.
Mount meanwhile had been the victim after Coquelin appeared to leave his foot in a challenge on the quarter-hour, the Valencia midfielder perhaps fortunate to get away with a yellow card for his troubles.
Kevin Gameiro almost curled Valencia into the lead with the 60-minute mark approaching but his shot was just too high.
Lampard’s side upped the tempo as the half wore on, Cesar Azpilicueta getting forward on a number of occasions but it was Valencia that found the hammer blow.
From a Denis Parejo free-kick, Rodrigo was left free as a bird inside the penalty area and he got enough on the ball to see it fly into the top corner past Kepa Arrizabalaga.
Barkley was immediately sent into the fray and he had a fortuitous chance to level from the spot two minutes from time.
Fikayo Tomori’s downward header from a corner collided with the arm of Daniel Wass and, following a review by VAR, the penalty was awarded.
Barkley took the ball and, despite a conversation with Willian, was clearly determined to take the kick but his eagerness was not rewarded, the ball cannoning away off the top of the crossbar.
Chelsea fashioned a couple of half chances in injury time but they couldn’t get on terms.