The Brazil striker picked up a flare that had entered the pitch after netting the Toffees’ match-winner just minutes into the second half - and threw it into the Gwladys Street End of Goodison Park.
The FA have reportedly paused an investigation while the police look into the matter.
However, Lampard admitted he couldn’t talk about the incident any further.
The Everton boss said: “It’s another one I can’t go into. It’s being looked into by the police at the moment.
“We as a club are doing everything we can to communicate with them as well as we can. That takes that time.”
In a statement earlier this week, Merseyside Police said: “We are aware of an incident involving a flare which took place during a goal celebration at the Everton vs Chelsea Premier League fixture on Sunday 1 May at Goodison Park.
“An investigation is underway.”
Lampard has been charged by the FA for comments he made after Everton’s 2-0 loss to Liverpool in the Merseyside derby.
He was angry Anthony Gordon was not awarded a penalty when he went down in the box under pressure from Reds defender Joel Matip.
Lampard claimed that Mo Salah would have got a spot-kick had it been for Liverpool.
Lampard has appealed the charge and also could not go into the incident.