The Hoops accepted an offer from Southampton, reported to be in the region of £12million, for the highly-rated midfielder. However, the 22-year-old's agent, Ivan Modia, has claimed Wanyama is not in talks with Saints and told Sky Sports: "The player will not be forced into a corner to accept the Southampton deal, just because it is good for Celtic."
Lennon said: "I'm unhappy because we have dealt with things as professionally as possible. What we have done is accepted a bid from Southampton, who are a very good club, a very progressive club. Personally, I think it would be a very good move for Victor in terms of his career going forward but there seems to be other bodies who want to block the deal."
He added: "There has been a lot of talk in the last couple of days. We accepted a bid from Southampton and we've done nothing wrong in our eyes as always.
"The ball is firmly in the court of Victor's representatives. You don't know what's around the corner. I would imagine there would be other interested parties but we've had no confirmation from any other clubs yet."
Cardiff have also been linked with Wanyama, who appears increasingly unlikely to be a Celtic player next season.
Lennon said: "The fact that we have accepted a bid tells you that we feel that matches our valuation of the player.
"We don't know where we are with it at the minute, there seems to be a bit of a stand-off.
"We felt the money was right for us, a good business deal for the club. Whether it resurfaces again, I don't know."
- Sports & Recreation