The pain of losing 2-0 in Astana had not lifted by the time the squad's luxury aircraft took off from Kazakhstan to bring them home today.
If anything, the manner of the defeat - especially the way the goals were conceded - made their wounded pride sting even more.
To a man, they know they could and should have won.
They also know that you simply can't defend the way they did, nor spurn the scoring opportunities they did, at any level - never mind in the play-off for a place in the group stage of the Champions League.
The expressions on their faces as they trooped out of the Astana Arena told you that the message has permeated every one of their brains.
If they had not realised it themselves, they were left in no doubt by Lennon, who retains a public face of confidence and defiance.
In private, he must be bitterly disappointed by what he observed, and concerned that his players might have more of the same about their person for the return game.
"I am disappointed," said the manager. "I thought we did more than enough to take something out of the game, in terms of goals.
"We had so many clear-cut chances and, if you don't take them, then the scoreline is always going to be negative.
"It is a big task but the tie is far from over. We have plenty in us to turn it around.
"The players will be very motivated. There will be a few who will be disappointed with their performances, but we are still well in this tie, though we have a lot to do."
At least Lennon and his players now know exactly what they are up against.
The short period they had to prepare for this match was a handicap, as were the logistics involved in just getting someone out to see Shakhter in action.
However, Lennon insisted: "They didn't surprise me. We knew exactly how they would play.
"We needed to be highly-motivated, and we knew they would be physical and a threat from set pieces.
"But if you look at the game in the cold light of day, we had six or seven clear-cut chances to either take the lead, equalise or get back in the tie.
"So it gives us plenty of encouragement for the second game in Glasgow."
That will now be as much a test of nerve as anything else. An early goal for Celtic, and, with the home support in full voice, Shakhter could freeze.
But until the Hoops get well ahead every time the Kazakhs get a throw-in, a cold chill will engulf Parkhead.
Shakhter got their opening goal from a Rory Delap-type bomb, Nikola Vasilijevic heading the ball on to Andrei Finonchencko four yards from goal.
Fraser Forster should have intercepted, Joe Ledley should have covered the run. Neither did, and the Shakhter captain bundled the ball over the line.
It just about summed it up for Lennon. He has been chasing a Finn, Teemu Pukki, to add to his firepower, and it was Finonchencko who gets on the scoresheet in this most important game.
The second Shakhter goal, 13 minutes from time, was the result of bad luck after Steven Mouyokolo had bravely thrown himself in front of Sergei Khizhnichenko's blaster, only for the ball to fly out to Gediminas Vicius on the left wing.
His shot was deflected into the path of Khizhnichenko, and he needed no second invitation to head home.
Skakhter did have other chances, but Forster was not called upon to make any outstanding saves.
Celtic had even more good opportunities, the best falling to Georgios Samaras in the first half and James Forrest in the second.
But the Greek international put his effort wide while the Scot sent his header straight at suspect keeper Aleksander Mokin.
Kris Commons cracked the crossbar, and Emilio Izaguirre and Charlie Mulgrew should have done better when they got a sight of goal.
But the sum total of all their efforts was a zero on the scoresheet, and that leaves them with a much tougher task in the return game than should have been the case, given the obvious gulf in quality which exists between the teams.
Quality means nothing if you don't impose it on the opposition, and Lennon reckons he knows why that did not happen in Astana.
Asked what he considered was the most disappointing aspect of the performance, he replied: "Just the lack of composure at the final bit, really, because we worked some great opportunities and all we needed was a goal to change the whole complexion of the tie.
"I was disappointed with the first goal conceded because we talked about it at length. We went to sleep on the second touch. With that, and the chances we squandered, it just makes life really difficult for us, but far from insurmountable."
The team he selects for the return game will certainly be geared to get goals.
Last night, he surprised many by deciding to pair Mouyokolo with Virgil van Dijk at the heart of the defence, leaving Efe Ambrose on the bench.
They were a threat in the opposition box at set-pieces, but did not snuff out the danger from Shakhter's basic approach to attacking.
Lennon was not in the mood to single out the new Bhoys for blame, however, and said: "They did okay. I can't really point accusing fingers at them.
"I thought Virgil was unlucky not to score. He looked a threat at set-pieces.
"The only real criticism is that maybe they defended too deep at times. But, overall, they did okay."
All of his players will have to do more than okay in the return, and the Hoops manager has a warning for the jubilant Shakhter players ahead of next Wednesday.
"I don't know if they think it is over," he said.
"They are definitely in the ascendancy, and there is that euphoria straight after the final whistle.
"But they have to come to Glasgow, and they will have to defend well because we will come at them from the off."