Given that almost all European contracts are drawn until the 30th June of a given year (due to the new football season in most of Europe starting on 1st July), technically both Frank Lampard and Ochoa are still club players.
The reason they are reported as free agents is because they, or their club, have indicated that there is no interest from one, or both, parties to extend the contract further. This is much like how Bacary Sagna (France), indicated to Arsenal he will not be signing a new contract and has signed a contract with Manchester City. He's still on Arsenal's books until the 30th June and on the 1st July will become a Manchester City player.
Given that England have already been eliminated, he doesn't fall under the player without a club category, and currently, neither does Ochoa. Mexico, however, are still in the competition at the time of writing, although they face a tough task against the Netherlands on the 29th June to progress further.