The Iceland international scored 28 goals for the Dutch side last season and has been linked with a move to Parkhead for some time.
Lennon would not be drawn on whether he was a transfer target for the club however, although he admitted he remains keen to add to his squad.
"It's just speculation at the minute. This window in particular, I have never known so many players being thrown at us, it's silly season," he told Sky Sports News.
"We have options, we have targets and we are working away as quietly as we can in the background to try and bring these players in.
"It's never easy and sometimes these things take a bit of time. I'd imagine we won't bring any other players in before the Elfsborg game on Wednesday."
If Celtic do sign Finnbogason he will join Derk Boerrigter at the club after he joined from Ajax on Tuesday and Lennon admitted he is delighted to have brought the winger to the club.
"He will bring pace and width to the team. Derk is a naturally left-footed player and one we have been looking at for some time," he added.
"He is very direct and puts you in mind of Lee Sharpe in his early days at Manchester United. His goalscoring record is also good, maybe one in three.
"Things didn't go well for him at Ajax which is no disgrace but we are delighted to have brought him in and I think he will excite the fans. He will add a different dimension to the way we play at times."
Keen to improve
As for the suggestion it may be hard to motivate his side as they go into the new season as favourites for the Scottish Premiership title, Lennon insisted they remain keen to improve.
"You are always looking to improve, always looking to progress," said Lennon. "We have sold Gary Hooper and Victor Wanyama, two very influential players.
"We felt that was good business for the club but we have injected a bit of freshness and we have tried to improve the team and individuals.
"Our goal tally was very good but our goals-against tally was down on the previous two seasons. There are always targets and incentives and we are always looking for individual progress."