The Hoops accepted an offer in excess of £12m from the Premier League outfit but Wanyama's agent, Ivan Modia, said the personal terms on offer were way below his client's expectations.
Modia accused the Glasgow side of trying to force the Kenya international into a move to St Mary's but Lennon says Celtic have not made any attempt to push the deal through.
"There's been a lot of talk," said Lennon. "We accepted a bid from Southampton, we've done nothing wrong.
"The ball is firmly in his representative's court. We're unhappy, as we dealt with it as professionally as possible.
"All we did was accept a bid from Southampton, a very good, progressive club. But there seems to be other parties wanting to block the deal.
"We felt the money was right for us, a good business deal for the club. Whether it resurfaces again, I don't know.
"The fact we accepted a bid tells you we felt it matched our valuation of the player. I don't know where we are with it at minute."
Cardiff are reportedly waiting for permission to talk to Wanyama, who cost Celtic just £1m when he signed from Belgian side Beerschot, while Stoke and Liverpool are also believed to be interested.