The Blues are known to have had two offers worth up to £45m rejected for the striker, who has now scored in successive Premier League games.
Following his side’s 1-1 draw at Leeds, Chelsea legend Lampard said he was now “very confident” of keeping Gordon past Thursday night’s transfer deadline.
“He’s too important a player and I think he’s shown his worth in the last two games,” Lampard told Elland Road.
“And with two days now [until the transfer window closes], what would it be for us to do anything with Anthony? On a bigger picture than that, he’s our player that we’ve developed and there’s an affiliation with him and the fans and vice versa.
“Obviously the interest is there because he’s a top player. And that’s why we’re so keen on keeping him.”
The 21-year-old is now said to be in negotiations to extend his contract at Goodison Park, following substantial interest from Chelsea.