The 41-year-old was officially unveiled as the club’s new manager last week after Lampard signed a three-year deal with the west London club.
Lampard only has one year’s worth of managerial experience under his belt after having worked at Derby County last season.
The former England star will now be focused on helping Chelsea FC to finish in the top four again next season after they finished third last term.
However, Merson feels that the Blues have taken on a significant risk by appointing Lampard as their new boss.
Speaking in an interview with Sky Sports, Merson said: “It is a big risk. You have to take the chance.
“I’m a Chelsea fan – we finished third, lost in the final of the League Cup and won the Europa League. That’s a good season.
“He’s coming in now having lost one of world’s top five players in Hazard and he can’t bring any players in.
“It is a big, big gamble but it’s one that you have to take. When you are a manager you dream about managing the team you used to play for and getting the England job.
“He’s come in at a bit of the wrong time because he cannot buy players. I don’t know who else would have taken the job if I am being honest.”
Chelsea FC won the Europa League last season after beating Arsenal 4-1 in the final back in May.
The Blues also finished third in the Premier League before Maurizio Sarri opted to quit Stamford Bridge and take over at Juventus last month.
Lampard, meanwhile, led Derby County to the Championship play-off final last term.
MORE: Man United latest news
MORE: Arsenal latest news
MORE: Chelsea latest news
MORE: Liverpool latest news