The Hoops conceded two late goals at Tannadice to draw their Scottish Premier League game 2-2 on Sunday.
"I thought we were brilliant today and we didn't get what we deserved, which was the three points," Lennon is quoted as saying by the BBC.
"We had to work really hard to get our two goals but I felt we were dominant.
"We should have seen it out but Dundee United got a couple of breaks. To come away with a point is frustrating but I was pleased with the performance."
Celtic remain at the top of the league table ahead of Hibernian on goal difference.