1. In a 5 to 7 quart pan, over medium heat, cook sausage, stirring, until brown. Spoon from pan; reserve. Add oil to drippings in pan to make 1/3 cup fat. Add flour; stir until mixture is red brown, about 10 minutes.
2. Add celery, garlic, onion, and carrots; cook, stirring, until vegetables begin to soften, about 3 minutes. Add reserved sausage, chicken broth, lentils, Worcestershire sauce, pepper, and cayenne. Bring to boiling over high heat; reduce to simmer, cover and cook until lentils are soft when pressed, about 40 minutes.