United boss Sir Alex Ferguson made a personal check on Wanyama this week.
"He took in the game as a guest of the club and came in to see us afterwards and was in great form," Lennon said. "I have huge admiration for him. He's a great individual and the way he spoke at Sean Fallon's eulogy was very impressive as well.
"He came in and spoke to us for 30-40 minutes on football - but he didn't put any bids in."