The 25-year-old has been strongly linked with a move to Portuguese giants Benfica.
Lennon has revealed that the club have written to one club to warn them off the former Newcastle goalkeeper.
He told the Scottish Daily Mail: “Fraser’s not for sale. We had no confirmed bids for him. We have actually written a letter to one club, just warning them off basically.”
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Summer 2016 is set to be a very exciting time for football fans, as this is when the long awaited Euro 2016 tournament kicks off.
Since Guus Hiddink arrived at the helm, Chelsea have improved considerably after a tricky start to the campaign.