Bluebirds owner Vincent Tan claims an agreement was reached with the Bhoys for Wanyama, only for the SPL champions to then raise their asking price.
With Cardiff reluctant to up their bid, the Kenya international ended up signing for Southampton.
Lennon, though, claims the Saints were the only side to put a suitable offer on the table and that Cardiff were never serious contenders to secure Wanyama's signature.
He told WalesOnline: "We totally disagree with what he (Tan) is saying publicly.
"There was never a deal agreed with Cardiff, and there was never a price set for Victor.
"Southampton's was the only confirmed offer we had, and it was considerably more than the figure Cardiff were talking about.
"It is frustrating if he is trying to give us a bad name in this deal because we acted as we always do, with the greatest professionalism and dignity towards ourselves and any other club.
"The bottom line was that Cardiff made an offer that was not up to the requirement of what we wanted.
"It was nowhere near the valuation of the player and nowhere near the structure of the deal that suited us. In the end, it was never going to happen."