The historic arena has proved somewhat unfriendly to the Northern Irishman in his previous visits there - a late collapse in a 3-1 group-stage defeat in 2003 and an agonising single-goal extra-time defeat in a taut last-16 tie in 2007 - but since then the Rossoneri's role as Italy's dominant team has been usurped by Juventus, Celtic's conquerors at the last-16 stage last year.
"I don't want to tempt fate, but I don't think they are as strong as Juve currently are," said Lennon, who flew to Italy from Edinburgh yesterday to check out last night's Serie A match against Torino. "They are clearly the best team in Italy. Milan are in a transitional phase from where they were under Carlo Ancelotti and the great team they had in the mid part of the decade. They are younger and seem to have put a bit more emphasis on youth. But they still have bags of quality."
The question of precisely how Milan will compare with their rivals from Turin is one which is concentrating minds at Celtic Park, not least the side issue of whether the same kind of aggressive man-marking tactics will be used from set-pieces. During a recent stint at a Uefa coaching conference in Nyon, Lennon questioned referees' chief Pierluigi Collina about Alberto Mallenco's laissez-faire approach to the Italians' penalty box wrestling in last year's last-16 encounter and his answers helped put his mind to rest. "I had a long chat with Mr Collina and I got some answers I was looking for," Lennon said.
For all this is a changed Milan squad, Celtic will still encounter some familiar faces. Kaka, the scorer of that extra-time clincher in 2007, is back in red and black even if he is unlikely to start following his move from Real Madrid, while Alessandro Matri, the strong-running striker who tormented the Parkhead backline last season with Juventus, could play. Then there is Mario Balotelli, the former Manchester City man-child, who is capable both of exquisite genius and excruciating self-destruction.
"Balotelli is a superb player," Lennon said. "If he hits his top form he is going to be very hard to contain. They also have Stephan El Shaarawy and Alessandro Matri, who we know about. Sulley Muntari can get goals too and they have Riccardo Montolivo. They are a very strong side, but we feel we can cause them problems. In terms of tradition, it's brilliant to go to the San Siro. I have played there and now I am going to manage there so I am really looking forward to the experience.
"You always think about the one that got away. The one with Martin [O'Neill], it was 1-1 with two or three minutes to go and we end up losing 3-1. The one with Gordon [Strachan] in the last 16 could have gone either way, it was just so tight for so long. Looking at them at the end of tie, it obviously gave them a massive lift and they went on to win it that year."
For all the cartoon slumping to the desk for the benefit of the TV cameras, and the damaging departures of last year's heroes Gary Hooper, Victor Wanyama and Kelvin Wilson, Lennon is convinced, like the club's supporters, that they can make an impact in this season's competition. And the addition of the pace of Derk Boerrigter and Teemu Pukki - a scorer on his debut yesterday against Hearts - gives Celtic such counter-attacking potential that they need no longer fear away games.
Lennon said: "We have to have that belief that we can qualify. The players have the bit between their teeth - they don't have any nerves over going to these places. Boerrigter is an interesting one, because we haven't had a quick leftie for a while and he is prepared to go in behind people and if he's fit and flying then I think he will be useful on the counter-attack in Europe.
"I don't want to keep relying on the home record because eventually, the more you play in this competition, it's natural that you are going to drop points at home, or maybe lose a game."
One man who will have to be on his mettle if Celtic are to get anything on Wednesday night is goalkeeper Fraser Forster. The giant Englishman, linked with a deadline-day move to Benfica, was an unused substitute for England's double-header against Moldova and Ukraine and knows his place in Roy Hodgson's prospective World Cup squad - assuming they qualify - will depend on his performances in the upcoming six Champions League matches.
"These games just get so much more coverage," Forster said, "and you tend to be busier because of the step up in class of who you are playing against. Benfica are obviously a fantastic team, worldwide the club is huge, so it is flattering for a club of that stature to come in and be interested. But I am Celtic's player at the end of the day, it is up to them what happens. As the window went on it was clear that I was going to stay here. The window is shut now. I am just concentrating on being here."