No, they aren't related - or if they are they certainly haven't mentioned it. However, as it happens Frank Lampard is the nephew of Harry Redknapp. Frank Lampard was born in Romford in England and is now 35 years old. His father (they have the same first name) was also a professional footballer and played for West Ham United, so he is clearly part of a footballing family.
John Terry, now aged 32, is from East London, and not from a family with a special history in football although like most professional players he began playing at a very early age.
Steven Gerrard is a little older than John Terry. He comes from Whiston, near Liverpool, and again he started playing early, already joining the Liverpool Academy when he was 9. However, he doesn't come from a famous sporting family either.

Maybe they do look a bit alike, but it doesn't seem that they are related although you never know!