Do I have to delete lambdas?

I am storing pointers to lambdas in dynamically allocated objects:

struct Function {
    SomeType*(*func)(int);
    Function(SomeType*(*new_func)(int)):
        func(new_func) {}
}

Function* myf = new Function(
    [](int x){ return doSomething(x); }
);

delete myf;

Do I have to write something special in the destructor of this class?