Trailing 2-0 from Tuesday's tie in Kazakhstan, the Parkhead club is under real threat of missing out on a place in the group stage, and the guaranteed £15m cheque that goes with it.
Should that happen, and they are sent down to the Europa League, where income is around 12% of that which can be gained in the premier competition, irate supporters will quickly point the finger of blame at chief executive Peter Lawwell for failing to plug the gaps created by the sales of Gary Hooper, Victor Wanyama and Kelvin Wilson.
There is no denying the trio, who have departed for English clubs generating £20.5m in transfer fees in the process, would have given Lennon better options than were available to him in Astana this week.
However, the manager maintains the club has not willingly gambled by selling key players without having adequate replacements lined up. The money offered for Wanyama, Hooper's unwillingness to sign a new deal and his desire to move to a Barclays Premier League club, and Wilson's determination to return to his family - meant that retaining them was not an option.
Celtic were pro-active at the beginning of the window, signing Amido Balde, Virgil van Dijk and Steven Mouyokolo, with Derk Boerrigter following soon after, taking their total outlay to £6.4m.
It was an encouraging start, though none of the aforementioned came with any kind of quality guarantee, and the key position of goalscorer remains vacant. The signing deadlines are known well in advance. But, of course, it is never as easy as that. Celtic can't force players to come to Parkhead, nor can they make other clubs sell to them if they do not believe the deal involves the right money or comes at the right time. Which is why Artjoms Rudnevs, Alfred Finnbogason, Teemu Pukki and Marko Arnautovic were elsewhere when Celtic faced Shakhter. They are all players Lennon wanted to sign, and, in some cases, still hopes to sign. But, every attempt to deliver them has failed.
The calls for the club to improve their offers are being ignored by Lawwell and his board, who are standing by the valuations placed on the targets, and the business strategy which has put the club in such a strong financial position.
The £22.4m garnered from their Champions League run last season was a massive bonus as the income stream they were banking on was based on finding, signing, developing and selling raw talent.
However, following the run to the last 16, expectation has risen in tandem with income, and failure to reach the group stage this time - not least because Shakhter are the poorest side still in qualifying - would bring ramifications.
Celtic's involvement in last season's competition saved Scottish football from disappearing down a black hole as the national team crumbled and the seamy saga involving Rangers threatened to suck the life out of our game. The prospect of a year without Champions League football would have a serious impact on interest levels, and attendances.
In time, Balde, van Dijk, Mouyokolo and Boerrigter may prove to be shrewd signings. But, it is right now that they, along with the players who have been at Parkhead for significantly longer, have to deliver for their manager, the club and the fans. Lennon has to pick the correct team next week, one which can convert and not just create chances, as they did on Tuesday.
He made all the right noises as he reflected on what was one of the most disappointing displays of his tenure. "We have plenty of football left in us to win this tie. I'm sure of it," he said.
Lennon has plenty of experience of difficult situations on which to base his assessment, going all the way back to 2005 and the 5-0 defeat in Bratislava in Gordon Strachan's first game. Celtic almost retrieved that, winning the return 4-0, and missing a couple of good chances near the end to take the game to extra time. Lennon played in those games and does not see a connection between then and now.
"It was far, far better than Bratislava," he said of Tuesday's performance. "We scored four against Bratislava in the second leg, remember, and we are capable of doing that this time as well."
Scoring early on Wednesday will be key to proving Lennon correct. Shakhter are poor travellers, and looked suspect as high balls were dropped on top of their goalkeeper.
Van Dijk and Mouyokolo appeared more of an asset in the opposition box than in their own, but that is something which will not have escaped the notice of Lennon.
He had warned everyone to be on their guard at throw-ins and said: "There are people who are culpable for it, but I'm not going to point fingers. We were prepared for it and didn't deal with it as we should."
Joe Ledley was caught on his heels when the ball came into the area for the first goal, and accepts much better will be required next week.
He said: "We conceded sloppy goals and we need to work on that. Our fans are going to be behind us, and the Shakhter players are not going to be used to a crowd like that and the atmosphere which they generate at our place, especially on Champions League nights."