Major lipids are very apolar (TGs) or relatively apolar (glycerophospholipids) so they are extracted in the phase enriched in chloroform. Chloroform is denser than water, so lipids are extracted in the lower phase. The upper phase contains polar metabolites.
It's the lower phase, corresponding to chloroform which has a major density than water. Lipids are non polar molecules, so they will be extracted in chloroform phase.