The Northern Irishman praised the efforts of Anthony Stokes despite watching his side fail to score in the San Siro in midweek and acknowledged they are missing a goalscorer
The Scottish Premiership champions reached the last-16 of Europe's premier cup competition last term, but came unstuck in their opening group game this time around, losing 2-0 to Milan on Wednesday.
Georgios Samaras and Anthony Stokes led the line for Celtic at San Siro, but Lennon believes his team are bereft of truly world class talent in attacking areas.
"We have lacked a Champions League goal scorer since I took over, we haven't had one probably since Henrik Larsson," he said.
"They cost a lot of money and they are hard to find. What do you class as a Champions League goal scorer? Robin Van Persie? Well, they cost £20million.
"So yes, of course we are going to lack a Champions League goal scorer. [Lionel] Messi, [Cristiano] Ronaldo, [Andriy] Shevchenko; they are proven Champions League goal scorers and you just don't buy them."
Still, Lennon was keen to praise Stokes for a committed display against Milan, and is hopeful that the forward will begin to find the net in European competition.
"I hope he does score at that level and I think he is capable of doing it," he said. "He showed the other night that he is capable of creating chances on his own.
"I thought he gave Milan all sorts of problems, so for his debut at that level, he can be very pleased with himself."
Celtic's next Champions League clash takes place on October 1, when they welcome Barcelona to Parkhead.