The Celtic boss was talking on Friday, just 24 hours after Rangers midfielder Ian Black was handed an immediate three-match ban after he admitted to betting that his own team would not win on three occasions over a seven-year period.
Black was also hit with a £7,500 fine and a suspended seven-match ban, which would be triggered if he repeated a similar offence, following a Scottish Football Association disciplinary hearing.
The former Inverness and Hearts player admitted betting on his then-registered club not to win in three matches and betting on a further 10 games that involved his own club.
Lennon said: "I would take a very dim view of it. I am not aware of it among my own players but it is an unwritten rule that you can't do, (that) and it opens up a huge can of worms later on down the line.
"In all my time as a player or coach, it is a complete no-no."
Asked if such a player would that play for him again, the Northern Irishman replied: "It would be very difficult.
"But you have to take each case on its merits. The tribunal have handled it the way they see it and there is a set ban in place and a pretty heavy fine as well, hopefully it is a lesson learned.
"I wasn't present, I don't know all the facts.
"You may be making a huge thing out of something... I am not trivialising it but it might not be as bad as we are all making it out to be.
"I don't know the merits of the individual case so the suspension is set in place, the fine is set in place and we move on."