Celtic have not faced Milan since 2007, when they lost 1-0 in San Siro, but Lennon believes that his current squad have the potential to cause an upset.
The Serie A club have only won once in three league matches this season and required a stoppage-time penalty from Mario Balotelli to secure a 2-2 draw with Torino on Saturday.
Lennon hopes that his side can use that to their advantage when they meet in the opening game of Group H.
"It feels fantastic being here," he said. "Everything we have worked on since being eliminated by Juventus (last season) has been geared towards tomorrow.
"I am very happy with the way the players dealt with the huge pressure in the qualification games, (but it is) a different kind of pressure now.
"We know it will be hugely difficult but the experience they gained last year will hopefully stand them in good stead."
However, Lennon will not have a full squad to choose from on Wednesday and there are big concerns over the fitness of experienced midfielder Joe Ledley.
"Joe has travelled but is a major doubt so will make a decision on it tomorrow," he added.
"James Forrest hasn't travelled due to illness, (but) Nir Biton has joined the group and will come into contention."
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