Lennon left Bolton Wanderers on Tuesday with his side sitting bottom of the English Championship.
It came amid continued speculation about Deila's future at Celtic Park.
"If Celtic do change their manager, I think Neil Lennon would certainly be a possibility," said McCoist. "He did an exceptional job at Celtic."
Lennon was Celtic manager from 2010-14, winning the Scottish title three times, and duelling with McCoist during the latter's first season in charge at Ibrox.
Celtic won the title after Rangers squandered a 15-point lead amid a financial crisis that led to them playing in Scotland's bottom tier the following season.
Lennon has experienced a similar scenario at Bolton, the 44-year-old's departure by "mutual consent" coming five days after the Sports Shield consortium completed a takeover of the club that has been close to administration.
"I for one could sympathise and understand what Neil Lennon's been going through more than most in terms of his managerial job in the last year or so," McCoist told BBC Radio 5 live.
"Our own club went into administration then liquidation. You get players turning up and they don't know if they're going to get paid.
"There are restrictions on you all over the place. It is an extremely difficult job."
Despite his side continuing to lead the Scottish Premiership, Deila has come under pressure, especially after his side's poor results in Europe this season, their defeat by Ross County in the semi-final of the League Cup and Aberdeen narrowing the gap to one point at the top of the table.
Former Celtic players David Moyes, the former Everton and Manchester United boss recently sacked by Real Sociedad, and Malky Mackay, the former Watford, Cardiff City and Wigan Athletic manager, have both been linked with the job with the reigning champions.
However, former Northern Ireland and Celtic midfielder Lennon has now been made favourite by some bookmakers to succeed Deila.
"Now that he has moved on, is there a possibility he could go back to Celtic? I would have to say yes," said McCoist.
"The current manager at Celtic is a man I have a great deal of sympathy for because, no matter what he does, it is probably not going to be enough.
"Scottish football for the last three or four years has been in an absolutely bizarre situation when nobody really knows what's good and what's bad and what's indifferent."
McCoist thinks the Norwegian is the victim of a lack of real competition at the top of the Scottish game.
"Both cups are held by teams in the Highlands," he said of County's victory in Sunday's League Cup final, which followed last season's lifting of the Scottish Cup by neighbours Inverness Caledonian Thistle.
"It is a fairytale story, but it does tell you more about the lack of strength among the big guns than anything else.
"For us as a country to have three of our biggest clubs out the top division last season, I don't think we are a strong enough footballing nation to have that.
"And the sooner Rangers, Celtic, Hearts, Hibs and Aberdeen are back in the top flight together the better."
Former Rangers manager Ally McCoist thinks that Neil Lennon could return to Celtic should Ronny Deila exit the Scottish champions as team boss.