The Scottish champions were well-placed after a 1-1 draw in Copenhagen.

But two error-strewn concessions in the final five minutes in Glasgow cost them after Odsonne Edouard's penalty cancelled out the Danes' messy opener.

"We win as a team, and we lose as a team but we basically shot ourselves in the foot," said Lennon.

"We made a mistake, gave them oxygen and encouragement, and then we had to change the shape to try to get back into the game.

"We get back into the game - deservedly so - and then you just need to manage the game. And we didn't. They're a really talented bunch but we've let ourselves down at really important moments."

Given how Celtic performed in the group stage - beating Serie A title challengers Lazio home and away - and Copenhagen's poor domestic form, this was widely viewed as a great chance to progress.

Had they kept a clean sheet, Celtic would have been in Friday's last-16 draw along with Rangers, and Lennon acknowledged how big an opportunity his side had spurned.

"We've had a good Europa League run but we let it go," he added. "It's bitterly disappointing to have lost, and the manner in which we've lost. We were the better team for large parts of the game.

"I don't think we need to analyse what went wrong I think everybody in this room and outside knows what went wrong, it's basic, individual mistakes that cost us.

"Sometimes as manager you can't legislate for that. We need to learn from it."

'Second half a calamity' - analysis

Former Celtic goalkeeper Pat Bonner on BBC Radio Scotland

The first goal was key for me. Jozo Simunovic lets the ball bounce and run down the side of him when he should have been booting it into the stands. It's a dreadful error and I've seen Simunovic make that mistake so many times.

That took the pressure off Copenhagen completely and they worked tirelessly so Celtic couldn't get a grip of the game. The second half was a real calamity. Celtic got the penalty but then it's mistake after mistake.

Former Scotland forward James McFadden

We're having a go at the defence but Copenhagen were winning all of the second balls in midfield in the second half and it wasn't sticking when it went up front. Celtic have been so switched on in Europe this season but we didn't see that tonight.

Deja-vu from Cluj?

This is the second time Celtic have been eliminated from European competition this season, having lost in the third round of Champions League qualifying to Romanian side Cluj.

The manner of that exit was eerily similar to the Copenhagen loss with an end-to-end game ending in disappointment for Lennon's side.

Having also drawn the first leg 1-1 away from home, they went behind after Ciprian Deac's header, but seemed to have turned the tie around with goals from James Forrest and Edouard.

Billel Omrani's penalty gave Cluj the lead on away goals with 16 minutes left, and although Ryan Christie forced the hosts in front and had them on course for the play-off, Omrani and George Tucudean struck to seal Celtic's fate.

Against the Danes they had once more seemingly rescued a bad situation, only to fail to manage the game and go out in dramatic circumstances.

How did fans react?

Alan Norrie: Absolutely pathetic performance especially the shocking defending.

Stewart Baillie: Scottish football summed up perfectly. Chance to get two teams into last 16, move ahead of Denmark in the coefficient to 13th. Tie at home against a bang-average side and an away goal in the bank. Too good to be true! Three goals you would see in a playground.

Keighlan Coe: They were doing alright until they conceded, then you could see them crumble mentally and they panicked every time they had the ball it seemed. Would have won that with a stronger mentality.

Ken McKirdy: Celtic were awful tonight - especially at the back - and deserved nothing from that game. Missed Ryan Christie big time.

Paul: Celtic seem better in Europe when they're underdogs. They did all hard work away to get a result and away goal and that made them favourites and they blew it.