Cardiff owner Vincent Tan made the claim as the Kenyan moved to Southampton.
But Lennon told WalesOnline: "We totally disagree with what he (Tan) is saying publicly.
"There was never a deal agreed with Cardiff, and there was never a price set for Victor.
"Southampton's was the only confirmed offer we had, and it was considerably more than the figure Cardiff were talking about.
"It is frustrating if he is trying to give us a bad name in this deal because we acted as we always do, with the greatest professionalism and dignity towards ourselves and any other club."