Goals by Karim Benzema (35) and substitute Marco Asensio (27) gave reigning champions Real control in the Spanish capital on Wednesday but Chelsea stayed in the tie despite playing for more than half an hour with 10 men.
The Spanish giants could have made the second leg a formality had they been a bit more clinical and Chelsea's interim manager Lampard says they may live to regret that.
"There were some good things but the result is the reality," Lampard, who returned to the club last week in the wake of Graham Potter's sacking, told BT Sport.
"But I just said to the players that special things can happen at Stamford Bridge. They are a very good team but we have to believe."
The odds will be heavily stacked against a Chelsea side who have now gone four games without scoring a goal and Lampard has one week to try and restore some confidence in attack.
"It's been a difficult period for the players and I think there's a bit of a lack of belief," the club's record goalscorer said.
"They have to understand how good they are and what they can do and maybe we're a bit short of that at the moment.
"We have to be much more positive in what we're doing."
Chelsea created enough chances to suggest they can penetrate Real's defence next week, with Joao Felix (23), Raheem Sterling (28) and Mason Mount (24) all having clear opportunities.
Real manager Carlo Ancelotti (63), who won the Premier League and FA Cup double as Chelsea boss in 2009-10, agreed that his side still have a lot of work to do.
"It's not easy being on the bench for a match like this but I'm very happy," the Italian said.
"We have to stay calm and understand that although we have an advantage, anything can happen in football and we have to manage our lead well."
