The Blues have struggled this season and are 11th in the Premier League, but face Los Blancos at the Santiago Bernabeu in the Champions League quarter-final first leg.
Lampard, who took over last week as coach until the end of the season after Graham Potter was sacked, confirmed Chelsea would have N'Golo Kante (32), Thiago Silva (38) and Mason Mount (24) available after injury issues.
"You can only become a leader in action -- there's no point being called a leader until you show it on the pitch," Lampard told reporters on Tuesday.
"Where we have brought in some younger players, we have to give them the chance to develop into the leaders we want them to be.
"In (Enzo Fernandez) I see a leader, but he's 22 years old. Games like this are a great chance to perform and show that personality that makes you a proper leader."
Lampard was one of Chelsea's leaders on their way to winning the competition for the first time in 2012, alongside other club greats including John Terry and Didier Drogba.
Roberto Di Matteo took over the Blues on an interim basis in March 2012 after Andre Villas-Boas was sacked, and led the side to European glory.
Lampard said he had not spoken to Di Matteo ahead of facing Real Madrid, who beat Chelsea in the quarter-finals last season.
"There are parallels in a simple sense, we're ex-players, he did an amazing job (but) I think my situation is different in practice," Lampard said.
"I have to be careful making that parallel because we have very tough games in front of us, there's a lot of work to be done.
"We will try if we can to create our own little bit of history, but the steps in front of us are very difficult of course."
Real Madrid beat Chelsea 3-1 at Stamford Bridge last season before salvaging a 3-2 defeat at home to progress to the semi-finals.
Rodrygo (22) scored a late goal to force the game to extra-time after Chelsea had gone 3-0 up, created by a remarkable Luka Modric (37) assist.
It was another memorable game at the Bernabeu for Madrid, who produced spectacular comebacks against Paris Saint-Germain and Manchester City on the way to winning the trophy for a record 14th time.
"One thing I would say, having watched Real Madrid and having a relationship with Carlo Ancelotti, who's been incredible in his time here, is that the players have to understand this is a special arena and a special football club," Lampard said.
"Some things you can't control, but we have to control what we can control, and understand the quality in the Real Madrid team."
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