Sonar : Replace this lambda with a method reference

Yes, you can use this::createSomeValue:

private List<SomeValue> createSomeValues(List<Anything> anyList) {
    return anyList //
            .stream() //
            .map(this::createSomeValue) //
            .collect(Collectors.toList());
}

This kind of method reference is called "Reference to an instance method of a particular object". In this case, you are referring to the method createSomeValue of the instance this.

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Whether it is "better" or not that using a lambda expression is a matter of opinion. However, you can refer to this answer written by Brian Goetz that explains why method-references were added in the language in the first place.