In marketing, Lead generation is defined as "the generation of consumer interest or inquiry into products or services of a business. Leads can be generated for purposes such as list building, e-newsletter list acquisition or for sales leads." In Simple words lead generation is the process of creating sales leads which might convert into sale for the company.
Whereas demand generation is defined as "the focus of targeted marketing programs to drive awareness and interest in a company's products and/or services. Commonly used in business to business, business to government, or longer business to consumer sales cycles, demand generation involves multiple areas of marketing and is really the marriage of marketing programs coupled with a structured sales process."
Here is an infographic that states basic differences between Lead generation and demand generation program.