Celtic face the Portuguese side on September 19 and Lennon believes that they will provide a serious threat, despite allowing Javi Garcia to join Manchester City last week.
The Glasgow club's manager said: "They sold two players in the window, Garcia went to Man City, and the other player went for a lot of money as well. They still have a very strong squad though.
"They may be weakened by those sales but they are still a formidable opponent. We are going to take one step at a time so our focus will be Benfica.
"We are at home and would really like to win that game and if we could get off to a good start it would really set the rest of the campaign up very nicely."
Barcelona and Spartak Moscow have also been drawn into Celtic's group for the competition.