Wigan manager Roberto Martinez, Swansea's Michael Laudrup and current Everton captain Phil Neville are also reportedly in the frame.
Lennon was asked if he was flattered by his name being linked with the Merseyside club.
"Of course, it is nice recognition," he said.
"Roberto Martinez was favourite yesterday and I'm favourite today, it could be someone else tomorrow.
"But all of it is speculation. I have a job here, I have a great job, a great set of players, a great support, so I am pretty happy here."