The duo left the club in July after being released by the west-London side, but both have found new teams.
Cole, 33, completed a move to Italian giants Roma two weeks ago and Lampard, 36, joined new MLS side New York City FC seven days ago.
But the duo didn’t have to leave Stamford Bridge this summer.
Blues boss Mourinho claims that Cole and Lampard were both offered new deals, and that they turned down the chance to stay at Stamford Bridge.
”They were [offered new deals],’ the Chelsea boss revealed.