The Blues have lost both previous finals against their London rivals in the competition, going down 2-0 in 2002 and 2-1 in 2017.
Chelsea came out on top when the sides met in last season's Europa League final in Baku, however, and have lost just two of their last 10 meetings with Arsenal overall.
Ahead of the match, Sports Mole looks at how Chelsea could line up for their final domestic game of 2019-20.
Lampard must decide whether to stick with the 3-4-3 formation used against Manchester United in the semi-finals, and the two league games since, or switch to a flat back four.
That is assuming N'Golo Kante is not fit enough to start, having only returned to training this week after missing Chelsea's last five matches with a hamstring issue.
A bigger talking point than the Frenchman's fitness, however, is whether Lampard recalls Kepa Arrizabalaga after dropping the goalkeeper for last weekend's win over Wolverhampton Wanderers.
Willy Caballero kept a clean sheet in that one and will be hopeful of retaining his place between the sticks on Saturday.
Elsewhere, Olivier Giroud appears certain to start up top as he aims to become the second player to score for and against a specific side in separate FA Cup finals.