The Scottish champions negotiated their way through a tough group which featured Barcelona and Benfica last season before bowing out in the round of 16 to Juventus.
While Lennon does not believe three points at San Siro are vital for progression to the knockout stages, he is keen to see a strong performance from his side.
I would love us to win, but, more importantly, I want to see a performance, he is quoted as saying by the Glasgow Evening Times.
And I don't want us to be gallant losers, either.
I want us to go to the San Siro, play strongly, and play with the maturity we are starting to show.
While James Forrest will miss the match with his sciatic nerve problem, Lennon can call on close-season acquisition Derk Boerrigter in Milan.
The Dutchman made his third appearance for the club in Saturday's 3-1 victory over Hearts.
Lennon believes the former Ajax forward can make an impact on Wednesday, after what he described as a very good" performance at Tynecastle.
What Derk gives us is a quick leftie, with a bit of quality. He'll go beyond players and does make good runs off the ball," Lennon continued.
It is a little bit different from what he was used to playing at Ajax in a rigid (4-3-3).
