ITV report that Andy Kellett expected to re-join League Two side Plymouth Argyle on deadline day.
"He hadn't got a clue. He was on his way to Plymouth." said Lennon.
"He thought I was winding him up.
"It took a good five or 10 minutes. He wouldn't believe us. We told him to ring his father and we'd tell him, and once that happened I think it started to sink in.
"It's a great story but now he's got to knuckle down and learn."
Manchester United took Kellett on loan after sending Saidy Janko to Bolton for the rest of the season.