Australia lost to the West Indies by six wickets with two deliveries to spare on Friday as captain Darren Sammy smashed two consecutive sixes in the last over bowled by pace bowler James Faulkner.
The West Indian players staged an exaggerated celebration with Chris Gayle leading a "Gangnam" style jig because Faulkner had commented before the match that he did not particularly like the West Indies.
"From my point of view, James has probably got to choose his words a little bit better but that's just part and parcel of the banter of the game, isn't it?" Lehmann said. "We're in the entertainment business and if I could dance like Chris Gayle I'd be dancing every night of the week.
"We play our cricket hard, and verbally that's what's going to happen. But we play it fair," Lehmann said.
For Australia's next Twenty20 game on Sunday, Lehmann said he was looking forward to using experience gained from a seven-match one-day series in India last year.
"We're lucky enough to have played some decent one-day cricket against India in India," Lehmann said. "They know us pretty well and we know them very well. So it's going to be a good chance for our batters and bowlers to put a complete performance."
Australia lost six of its first eight batsmen to spinners during its six-wicket loss to the West Indies on Friday but Lehmann said the team was not worried about India's spin attack which has helped it win three games on the trot.
"It's not a weakness. The spinners did not get us, we got ourselves out. We should have won both those games. Our match-winning has to improve in this format. We've got some work to do in that area," Lehmann said.
Indian slow bowlers have performed well with leg-spinner Amit Mishra leading the attack with seven wickets so far and winning the first two games for his team.
Ravichandran Ashwin, who was man of the match in the third game against Bangladesh with 2-15, said he respected Australia.
"They're a quality side, a side which any team would be threatened by seeing," Ashwin said. "They have some quality batters and really quick bowlers in their lineup."
Australia also lost to Pakistan by 16 runs in an earlier Group 2 game and is virtually out of the reckoning for a semifinal berth.