The England international recorded his 11th successive clean sheet for the Bhoys, breaking Charlie Shaw's haul of 10 in both the 1913-14 and 1921-22 campaigns.
"It's something that we're all very proud of, I'm sure particularly Fraser," Lennon told Sky Sports.
"We certainly don't take it for granted. These are special times for the players, when they look back on their time here they can look at that as quite an achievement.
"It's been a long time coming. To break (the record) is fantastic."