The Glasgow club currently sit bottom of Group H, two points adrift of their second-placed opponents and one short of third-placed Ajax, who host the already-qualified Barcelona.
But manager Lennon believes the "must-win" nature of the tie at Celtic Park can play into his charges' hands.
"We have nothing to lose and everything to gain and that's a great position to be in," he said. "It's a game we have to win to have any chance of qualifying.
"I don't think the players need much incentive or motivation for the game. We're playing against a very good side, despite their league form.
"I'm not feeling pressure at all and will try and transfer that to the players as well. I don't want any nerves or anxiety. It's a great game for players to be involved in."
The Italians are having a dismal time in Serie A this season and currently sit 13th on just 14 points, but Lennon knows the dangers Massimiliano Allegri's side will pose in Glasgow.
"They (Milan) may have a point to prove to their own supporters, but they don't have anything to prove to anyone else around the world.
"They are a top-class team and their results in the group have been solid.
"My whole focus at the minute is on how we play and, with the great support we have here, it should be another great night.
"Cause for optimism for me is that we are at home and our home form is really good. That gives me a lot of encouragement."
Celtic lost the reverse fixture 2-0 on matchday one, but Scotland international Charlie Mulgrew revealed his colleagues are in good spirits ahead of Tuesday's clash.
"Everyone is positive," he said. "We know it will be difficult as AC Milan are a class side, but we know the task ahead and know what we need to do. Everyone is excited for it.
"You just need to look at all the world-class players in their side to see how difficult it will be. It's massive, a must-win game for us."
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