Dutch winger Derk Boerrigter looks likely to make his debut in Sweden, where the Hoops will defend a 1-0 lead from the first leg, after becoming the fourth new arrival of the summer.
"It's just speculation at the minute," Lennon told Sky Sports News. "This window in particular, I have never known so many players being thrown at us, it's silly season.
"We have options, we have targets and we are working away as quietly as we can in the background to try and bring these players in.
"It's never easy and sometimes these things take a bit of time. I'd imagine we won't bring any other players in before the Elfsborg game on Wednesday."
Finnbogason scored 24 goals in the Eredivisie last season.