Hull had agreed to loan the midfielder to the Scottish giants but the deal is said to have collapsed over personal terms.
Bullard was a £5million record signing for the Tigers but has played just 15 matches in 18 months because of injury problems.
Celtic nonetheless remain keen to sign the 31-year-old but Lennon has told the former Fulham and Wigan man he will need to rethink his financial stance.
"The door is still open for Jimmy if he wants to reconsider," Lennon said in the Daily Record.
"Everything was agreed with Hull and he wanted a bit more. We couldn't do that but the door is still open if he wants to reconsider."