The 38-year-old will join Bundesliga club Stuttgart after the tournament following a miserable last season at the Emirates Stadium, in which he fell out with Wenger as he was reduced to third string goalkeeper at the club.
After Germany's 3-2 win over Turkey, Lehmann said: "This achievement means a lot to me after a difficult season - but that difficult season was down to my manager.
"Arsene and I had some discussions about that and I have told him what I think about his decision but I'm quite proud to represent Arsenal in the final."