Lennon stepped down from his role at Parkhead last week after a successful four-year spell in charge of the team.
The 44-year-old won three Scottish Premiership titles and two Scottish Cups during his time at Celtic.
When asked if he was surprised by Lennon's departure, Brown told reporters: "Yes, of course I was surprised, but we wish him all the best. He's been fantastic for the club.
"He helped me a lot, and made me the player I am. We're sad to see Neil go."
Former Manchester United boss David Moyes is among a handful of candidates who are understood to be in line to replace Lennon at Celtic.