Lu caused a major All England upset by defeating the three-time finalist 4-6 7-6 (7/3) 7-6 (7/4) 6-7 (5/7) 9-7 in the fourth round.
The hard-hitting Roddick struggled to stamp his authority on the world number 82 during the epic encounter, but Lu revealed that even as late as the deciding set he had no realistic aspirations of victory.
“When I was going to the final set I just tell myself I have to fight, because I know in the fifth set there is no tie-break and he has better serve,” Lu admitted.
“So I just tell myself, if I can stay here longer, longer, longer, then probably something happens.
“But I tell you, in the fifth set, I don’t believe I can win because he’s a better server than me. But I just tell myself, even if I don’t believe, I have to fight.”
Fifth seed Roddick was clearly upset by the result, but gave his opponent credit.
“I thought he served better than he has against me before,” Roddick said.
“But I had chances and I didn’t take advantage of them.”
Lu will face Novak Djokovic in the quarter-finals tomorrow having never previously gone past the second round at Wimbledon.
Serbian third seed Djokovic progressed after seeing off 2002 champion Lleyton Hewitt in four sets.
Top seed Roger Federer enjoyed a composed afternoon in the sun as he defeated Jurgen Melzer to reach the quarter-finals. After struggling through his opening two matches, the defending champion posted a second straight-sets win in succession as he outclassed Melzer 6-3 6-2 6-3.
The six-time champion will meet Tomas Berdych in the last eight after the Czech fought back from a set down to see off Germany’s Daniel Brands 4-6 7-6 (7/1) 7-5 6-3.
Rafael Nadal eased any concerns over his fitness with a dominant victory over Paul-Henri Mathieu.
The Spaniard made it 10 wins from 10 career meetings against Mathieu with a 6-4 6-2 6-2 victory on Court One. Robin Soderling is next up for Nadal after he reached the Wimbledon quarter-finals for the first time at the expense of David Ferrer.
The Swede, who did not drop a set in the opening three rounds, started off in similar fashion but ninth seed Ferrer twice fought back before Soderling triumphed 6-2 5-7 6-2 3-6 7-5.
Andy Murray reeled off his fourth consecutive straight-sets win to reach the last eight.
The fourth seed did not play quite as well as he had in his opening three matches but it was still good enough for a 7-5 6-3 6-4 victory over Sam Querrey in a little over two hours.
Jo-Wilfried Tsonga, the 10th seed, set up a meeting with Murray by winning his all-French battle with Julien Benneteau.
Meanwhile, Serena Williams believes more big serving can carry her to consecutive Wimbledon triumphs after she saw off a spirited fourth-round challenge from Maria Sharapova.
The defending champion and sister Venus survived faced stiff tests as they successfully reached the quarter-finals, while fellow top-four seeds Caroline Wozniacki and Jelena Jankovic crashed out.
The only fourth-round contest to go to three sets was, unsurprisingly, the all-Belgian affair on Court One with Kim Clijsters edging past Justine Henin. The top seed faced three set points in her opener against former world number one Sharapova, who beat her in the 2004 final, but came back to win 11-9 on the tie-break and then secured a 6-4 second-set victory.
“I served really well,” Williams said. “I had a little bit of a hiccup, but she returned really well. It forced me to serve really well.”
Sister Venus beat unseeded Australian Jarmila Groth 6-4 7-6.
Third seed Wozniacki was dumped out 6-2 6-0 by Petra Kvitova, ranked 62nd in the world, to ensure there will be an unseeded semi-finalist.
Clijsters recovered from a poor start to dominate the second set against Henin, who suffered an elbow injury in a heavy fall early in the contest, and retained her edge to win 2-6 6-2 6-3.
The 27-year-old lost to Henin in the last four on her previous Wimbledon appearance in 2006 but she now feels more confident on grass.
The US Open champion said: “I’ve always had a lot of respect and admired Wimbledon as a tournament.
“Since I’ve come back, I feel a lot more comfortable moving from side to side. Those first few steps are really important – I’m a lot more in control of those.”
Clijsters will take on 21st seed Vera Zvonareva after Jankovic pulled out of their match with a back injury as the Russian led 6-1 3-0.