Goals either side of the break at the Astana Arena on Tuesday condemned the Hoops to their first defeat of the season, leaving their chances of progression to the lucrative group stage under threat.
Celtic and Shakhtyor will contest the second leg in Glasgow next week and Lennon believes that the tie is still all to play for.
"It's not over yet. We've got to go back to Celtic Park," he said.
"It's a disappointing result. We should have scored and that would have put a different complexion on the tie.
"There is plenty for me to chew on in terms of chances but Shakhtyor didn't surprise us with the way they played."
The hosts' long throw-ins, the source of the opening goal, caused the Hoops problems throughout the evening and Lennon admitted his disappointment at some of his side's defending.
"We knew they would throw balls forward and we should have dealt with the first one a lot better," he said.
"I don't know how many chances we had tonight - clear-cut ones as well - but if you don't take your chances you make life difficult for yourself. I'm not down and out just yet."
"There are a few players who will be disappointed with their performances tonight. They've got to get better very quickly."
Steven Mouyokolo and Virgil van Dijk were both handed their European debuts for the Hoops, as they started in central defence together for the first time, with Efe Ambrose named on the bench.
Lennon added: "Efe has been in South Africa, Aberdeen and now another flight to Kazakhstan.
"I wanted the extra height to cope with the aerial bombardment that we were going to get. In the main, we dealt with it okay. We just switched off at one throw-in.
"I didn't really feel uncomfortable in the game at all. I thought we would score. But the fact that we didn't just makes it that little bit more difficult now."
Asked if the loss of key players, such as Victor Wanyama, Gary Hooper and Kelvin Wilson, might have contributed to the result, Lennon said: "Possibly. I still think we've got enough in the squad to come through the tie so that's what we will endeavour to do."