Lampard, the Blues' record goalscorer, was sacked on Monday morning after a run of five defeats from eight Premier League games.
Former Derby boss Lampard signed a three-year deal in the summer of 2019 and, in spite of a transfer ban, led Chelsea to the FA Cup final and a fourth-place finish in his first managerial campaign at Stamford Bridge.
With cash to spend ahead of this season, the arrivals of Ben Chilwell, Kai Havertz and Timo Werner failed to translate into improved results and they are ninth in the Premier League at the halfway point, 11 points off leaders Manchester United.
However, despite their recent troubles, Owen felt Lampard deserved more time.
He tweeted: "Absolutely staggering decision from @ChelseaFC to sack Frank Lampard. Where do you begin?
"Against the odds made top 4 last season and qualified impressively to the knockout stages of the @ChampionsLeague this season. Bought some good players who will settle in given time. Madness."
Gary Lineker also could not believe Chelsea would pull the trigger so early in Lampard's reign.
He tweeted: "Reports that Frank Lampard will be sacked by @ChelseaFC today. Utterly ludicrous after his first bad run.
"It was always going to need time given so many new signings feeling their way into a new club. Patience being a virtue is seldom recognised in this sport. They never learn."
Former Chelsea defender Mario Melchiot believes Lampard paid the price for not getting the most out of his big-money signings.
Melchiot, who made 130 league appearances for the west London club between 1999 and 2004, told Sky Sports: "I was always a big fan of Frank taking the job, but it took him a little bit too long to get his team playing the way he wanted it and I think the price tag that he had on it, I think that was one of the crucial decisions."
Ex-Chelsea winger Shaun Wright-Phillips is confident his former team-mate will bounce back from this setback.
He tweeted: "Gutted to see Lamps go! It was always going to take time for new players to bed in and adjust, I feel patience was needed, especially after working with no budget last year and doing such a great job.
"Ultimately football is a results business and short term success is also required, but the bigger picture for me is, Frank went through his first bad run and Chelsea are only 5 points behind 4th spot.. the season is all to play for!
"I know will bounce back from this and use this experience only as a positive. I absolutely loved my time at Chelsea and the fans were always so great towards me so I really do hope the club get the right appointment."