Lampard confirmed on Monday that he would be ending his 13-year stay at Chelsea after the Premier League club decided against offering him a new contract.
The 35-year-old England international is now a free agent and could be the second high-profile player to make the switch to the United States following David Villa's move to new MLS franchise New York City.
"The American thing is an option. I'm looking at different options but I want to carry on playing," said Lampard, who will captain England in their international friendly against Ecuador on Wednesday.
While Lampard is determined to sort out his club future as soon as possible, the 103-cap veteran insists a decision will not be made until after the FIFA World Cup in Brazil, where England will come up against Italy, Uruguay and Costa Rica in Group D.
"I'd like to get it sorted soon - not in World Cup time, but after that. I'm not sure it's possible to do now," he said.
"I'm a big enough boy to get on and concentrate fully on this World Cup with England."
England kick-off their World Cup campaign against four-time champions Italy in Manaus on June 14.
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