Lennon was, like the rest of British football, stunned to discover that Cardiff City manager Malky Mackay had been given an ultimatum by the club owner.
Malaysian Vincent Tan told the Scot - who led the Welsh club to the top flight for the first time in 51 years last season - he had to resign or be sacked.
The shock news comes just days after West Bromwich Albion dispensed with the services of their manager Stevie Clarke.
Former St Mirren player and Chelsea assistant Clarke took the Midlands club to eighth spot in the Barlcays Premier League last season.
Lennon said: "You always think you are in a difficult position and then you look elsewhere and you think this is a walk in the park compared to what some other managers have to put up with.
"And I don't know what you can do about it, what regulations you bring in, but it's very unfair on some managers, particularly when they have done really tremendous jobs.
"Malky, in particular, has done a tremendous job. I don't know what he has to do.
"He got promotion with Cardiff for the first time in 60, 70 years, he has consolidated them in the Premier League and some of their performances have been fantastic.
"You can't do any more. It just baffles me the way some managers are treated and the way some owners behave, but it seems to be their ball and they can do whatever they want with it.
"I think Malky has handled himself brilliantly under probably extreme circumstances to tell you the truth.
"He's dealt really well with the media. He's bound to be frustrated and he's bound to be hurting. I can't quantify the way some owners behave."
Lennon also admitted he felt for Clarke, who was ditched by West Brom despite being above the Premier League drop zone.
He said: "West Brom are normally a pretty solid club. Maybe they just looked at recent form and felt that they needed a change in direction. But Stevie is a good manager and coach."