The packages were posted in Northern Ireland and intercepted at a Royal Mail sorting office in County Antrim on Wednesday.
The club's website said: "It is now a police matter and the club has no further comment to make."
Lennon, a catholic like fellow Northern Irishman McGinn, was regularly the victim of sectarian abuse while playing for his country.
He was forced to withdraw from a match against Cyprus in 2002 after receiving death threats and subsequently retired from international football.
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