The Easter Road club go into the game not having won the trophy in 111 years and on the back of a demoralising 5-1 thrashing by Edinburgh rivals Hearts in last season's final.
The Parkhead side, for their part, are odds-on to win the trophy which would secure the domestic double but former Celtic skipper Lennon said: "The pressure is on both teams, it is a cup final and there is a trophy to play for."
He added: "I suppose we will be heavy favourites going into the game but it is all on the day as we have seen in the past.
"We have had a terrific season and it would be a nice way to finish it off. I think there will be a full house and a tremendous atmosphere.
"What the players can't do is get carried away with the crowd, they have to concentrate on the game and blank the crowd out."
Lennon was "delighted" to discover this week that he is free to take his place in the dugout on Saturday.
He was found guilty by a Scottish Football Association disciplinary tribunal of entering the "playing zone" within 15 minutes of the final whistle of Celtic's 3-1 Clydesdale Bank Premier League defeat by Motherwell last month while serving a three-match touchline ban.
Lennon's ban for breaking the SFA's rule 205, however, has been suspended until the end of next season and he will be on the touchline urging his players on.
"It is very important and I am just looking forward to it now," he said. "I played in plenty of cup finals so to take the team out for another one is pretty special."
- Sports & Recreation