The former England midfielder left New York City FC last autumn.
Lampard is Chelsea's record goalscorer and also played for West Ham and Manchester City in the Premier League.
He wrote on Instagram: "After 21 incredible years, I have decided that now is the right time to finish my career as a professional footballer."
Lampard had received offers to continue playing, he said, but will now assess future opportunities.
"Whilst I have received a number of exciting offers to continue playing at home and abroad, at 38 I feel now is the time to begin the next chapter in my life," he said
"Looking forward, I'm grateful to the FA (Football Association) for the opportunity to study for my coaching qualifications and I look forward to pursuing the off-field opportunities that this decision opens."
Lampard thanked West Ham, the club which gave him his debut in 1996, and City and had particular words for Chelsea, where he spent 13 years before leaving in June 2014.
He scored 211 times for the Blues and won every major club honour, netting the goals which in 2005 secured the club's first championship title in 50 years.
"The largest part of my heart belongs to Chelsea, a club which has given me so many great memories," he added.
"I will never forget the opportunity they gave me and the success that we managed to achieve together.
"It is impossible to give thanks individually to all the people that helped and supported me in my 13 years playing there.
"All I can say is from the day I signed until now and going forward, I'm eternally grateful for everything and to everyone.
"Chelsea fans gave myself and my teammates such incredible support.
"Their passion and hunger drove me on personally to give my best year after year
I couldn't have done it without them."
Source : PA