Reports have suggested Cardiff are lining up a move for the Scotland international when the transfer window reopens in January.
Lennon admits he expects other clubs to be weighing up moves for Forrest, but he insists the 22-year-old is going nowhere.
"It wouldn't be a surprise if other clubs were looking at James because he is a brilliant player," Lennon told the Daily Record.
"But he signed a long-term contract 18 months ago. We are months and months away from the window - he is not for sale.
"I don't know if people are trying to unsettle players here.
"It's as if everyone wants me to sell a player every month - people talked about Virgil van Dijk, Scott Brown, Fraser Forster and now James. These players are not going anywhere.
"We are in a very stable position as a club and that is something which is a rarity in this day and age.
"The players are happy, vibrant and we have a lot to look forward to.
"We are on a great run domestically and we're in a hell of a group in the Champions League where we have competed brilliantly in all three games."