The comedian told of his sadness at football-related bigotry and called for more to be done to bring an end to it.
Connolly cited the example of Hibs manager Lennon being given a touchline ban by the Scottish Football Association for celebrating his side’s goal in a 5-5 draw with Rangers last season.
Lennon, who ran on to the pitch and mimicked an aeroplane, later said he had been subjected to sectarian abuse for 90 minutes by Rangers supporters before reacting to the goal.
Celtic fan Connolly said the incident made him think he was “deluding” himself by hoping bigotry was not as bad as it had been in the past.
The comments were revealed in the 75-year-old Glaswegian’s new book Made In Scotland.
He said: “It would be lovely to think, in 2018, that the hatred between Rangers and Celtic, between Protestant and Catholic, had all evaporated into the ether.
“But I think it is still there and it holds Scotland back as a nation.
“There was a movement against it a few years ago, a kind of anti-bigotry movement, but it seems to have fizzled out and it didn’t really come to anything.
“In football and in Scotland, sectarian hatred belongs in the past and I’d like to think that it is not as bad as it was.
“Then, sometimes, I wonder if I am deluding myself and being too hopeful.
“Only last season, Neil Lennon, who used to be the Celtic manager and is now the manager of Hibs, ran on the pitch and celebrated when his team scored a fifth goal, making it Hibs 5, Rangers 5.
“He got punished for going over the top but he explained why he had done it: ‘The Rangers supporters were calling me a F**ian b****** all match long.’
“We still have a long way to go. I don’t understand how we’re ever going to get rid of the bigotry - it seems bottomless.
“I am just grateful that I have always got along well with Glaswegians as a whole, all of them.”
Connolly’s book was published before last week’s incident at the Edinburgh derby where Lennon was struck by a coin thrown by a supporter.
The Northern Irishman later hit out at the “anti-Catholic racism” he has suffered since signing for Celtic in 2000.
Connolly, who has been given a seat for life at Celtic Park along with fellow celebrity fan Rod Stewart, said deep down he didn’t care about the Old Firm rivalry and hoped that his team could one day play in the English Premier League.
In the book, he also revealed the toll that Parkinson’s disease has taken on his life, having being diagnosed in 2012, and said he has put himself forward as a stem-cell research “guinea pig” to find a cure for the disease.