The Scottish champions took a narrow, 1-0 lead into Wednesday night's second leg in Sweden but it proved enough as the game ended in a goalless draw.
Lurgan born Hoops boss Lennon admitted it was too close for comfort.
"It was a huge result," he said. "It was a tough night. We showed great character. It was a tough game and you have to give credit to Elfsborg - they gave it everything."
It is nerve-wracking at this time. I was nervous all day
He continued: "We will wait to see what the draw brings. It is a step in the right direction. I am really pleased. It was a tough, tough night."
Celtic started well and had an early chance to double their aggregate lead when Georgios Samaras had an unmarked header in the 12th minute.
But last week's result, courtesy of a goal from Kris Commons at Celtic Park, was enough to see the Glasgow club through the third qualifying round.
"I felt we should have had the tie wrapped up after 20 minutes," Lennon continued.
"You would expect him (Samaras) to score or get it on target anyway and then their goalkeeper has made a fantastic save from Joe Ledley.
"We only needed the one goal to burst the enthusiasm of Elfsborg. We became a bit scrappy but with a bit more quality we might have picked them off near the end."
Lennon has also confirmed defender Kelvin Wilson is poised to leave the club to rejoin his old side Nottingham Forest, with a deal close to being finalised.
"I would say it was Kelvin's last game for us," added the Northern Irish manager.
"I would say he would be away over the next couple of days. If it is then he could go away with his head held high. I thought he was fantastic tonight for us and he will be a huge miss."