Wanyama revealed whilst on international duty that he would be open to a move to the Premier League.
"The rules are made clear before the lads go away. At any time of the year players should not be talking about club business when they are away with their international teams," Lennon barked to the Sunday Mail.
"That goes for a few of the others and I am not just singling out Victor on this but he knows the club policy. It is difficult sometimes when they get asked questions but they should just bat them off really.
"Victor is due back on July 11 and will meet us on tour in Germany.
"It does not surprise me that there is interest in Victor as he had an incredible season. We think he is a great player but I'm just not happy about the way things have been dealt with.
"As far as we are concerned Victor is not going anywhere as he signed a long-term contract."