The 34-year-old, whose Blues contract expires next summer, sparked talk of a switch to the United States when he and agent Steve Kutner were pictured sitting with Galaxy midfielder David Beckham at a recent Major League Soccer match.
But Lampard said in The Sun: "There's nothing in that at all. I'm here in Los Angeles on holiday with [fiancee] Christine. We got engaged here last year and we love it over here.
"Steve's over here a lot on music and football business. He organised a box so we could go to see the Galaxy game. Becks was suspended for the match, so he came and sat with us and we had a good laugh - that's all."
After missing England's Euro 2012 campaign due to injury, Lampard cannot wait to get back to action with his club.
"Now I'm really looking forward to getting back to Chelsea. I'm feeling fit and fresh and I'm raring to go," he added. "My thigh strain is completely healed now and maybe missing the Euros was a blessing in disguise for me. I had a full summer off and I'm ready to go back to start the hard work for the new season."