Motherwell manager Stuart McCall has targeted Samson as a replacement for Darren Randolph, who will leave Fir Park at the end of the season, with Birmingham his expected destination.
Speaking after his side's goalless draw with Aberdeen, Lennon said: "We got correspondence from Motherwell yesterday and they are going to open up negotiations.
"He has been absolutely fantastic for us and we felt, for a club our size working within our budgets, that we made a good offer.
"Sammy has declined that and taken a bit of a gamble. He believes in his ability and let's see where it takes us.
"But he has been absolutely terrific, a top bloke. To see him coming in as number two to Paul Gallacher, then picking up the reins and getting into the Scotland set-up, and he could now be at the runners-up of the SPL. We will see where that one goes."