Hearts could be deducted 18 points - a third of last season's total - after the club's Lithuanian parent company UBIG asked to be declared insolvent.
If the SPL deem this to be in breach of their insolvency rules, the resulting punishment could see them finish the season bottom of the table and relegated to the First Division.
If this came to pass it would mean another major club dropping out of the top-flight - after Rangers were liquidated and re-emerged in the Third Division last year.
"We would be losing probably the third biggest club," said Lennon of Hearts' potential relegation. "We have already lost the second biggest so it doesn't look good.
"It is a pretty sad situation. It is a great club with a great tradition and this time last year they were in a cup final.
"I don't know, the powers-that-be will maybe have contingency plans in place
"I don't have a crystal ball, I don't know what sort of damage it will do to the SPL, but there will be an outcry.
"Hearts have a decent support for a club in Scotland and to lose that would be pretty damaging."
Lennon expressed his sympathy for Hearts manager Gary Locke, who was only made permanent manager in March, and the Jambos players, who have had to operate under the cloud of financial uncertainty.
"It seems to have been going on for quite a while," said the Northern Irishman.
"This time last year the players weren't getting their money, but they kept on going and showed tremendous loyalty to Hearts.
"I don't know if he (Locke) will be aware of everything going on but knowing his character, I'm sure he will see it through okay."