Marcelo Bielsa's side agreed a fee with Derby for the Czech early in the summer but his excessive demands meant no deal could be reached, with Leeds instead swooping for Middlesbrough star Patrick Bamford.
With Vydra, last season's Championship Golden Boot winner, going nowhere and fully recovered from an injury, Lampard says he will be re-integrated into the Derby squad.
"The only clarity is that he's our player," he insisted.
"There was interest in him, I think we're all aware of that, I saw it on TV in the week. He's our player and there's no one knocking our door down making offers for him."
Lampard says that he is looking forward to getting started in management, but admits it is likely to be a stressful undertaking.
"To go by the last month I probably won't sleep very well," he said. "Management does bring lots of issues.
"Playing is easy, you can be pretty selfish when you leave the training ground and go home to your own life.
"As a manager, you do take responsibilities everywhere you go and you do wake in the night thinking about tactics and players etc. That's been the case but it comes with the territory.
"The nerves will be very high going into it but I'm prepared for that."