It is now six games since Mark Davies last scored a Trotters goal against Brentford in April, but they passed up several chances to break their duck this season.
Substitute Daniel Powell then did what the visitors could not as he settled the contest with a well-taken goal to give the Dons their first home win since their promotion to the Championship.
Lennon said: “It’s been the story of our season so far – we’re playing well and I feel that’s a game that got away from us because we were in control for long periods and we’ve missed big chances.
“That’s the only source of frustration for us tonight and Lawrie (Wilson) – I don’t know what he’s done – he’s miscontrolled it but he was there in the right position.
“He knows where Powell is but we’re not going to blame him tonight because we had so many good chances to win the game.
“It’s frustrating and disappointing but it’s encouraging because to a degree we’re playing really well but we need someone who putts, to use a golf analogy.
“We look a decent side but we’re just lacking that composure in front of goal whether it be the finish or whether it’s the final pass and that’s the most important facet of the game.”
The closest Bolton came was when Zach Clough struck a rising effort from Gary Madine’s knock-down only for David Martin to push it on to the crossbar.
MK Dons’ winner came after an hour as Samir Carruthers’ through ball found its way to Powell, who cut inside before passing into the bottom corner.
Dons boss Karl Robinson said: “We started okay and we didn’t concede many chances but territorially they had a lot of the play with set pieces and corners and they got into our box a lot.
“We sort of denied the game of any fluidity when we didn’t have any fluidity in our own play but I thought the first 25 minutes of the second half, that was us.
“I said to them at half-time that they’ve got to believe in themselves because we looked like we don’t belong here and they were wondering ‘are we meant to be here?’
“I told them we’ve earned the right to be here, they’ve earned the right to come up against some wonderfully gifted players and they’ve earned the right to show everyone how talented they are.
“We knew we had certain players who could be game-changers and Powelly proved it with his performance and his goal when he came on.”