This study is being done to see if adding brentuximab vedotin helps two drugs work better to treat patients with diffuse large B-cell lymphoma (DLBCL). Participants in this study will have DLBCL that has come back or not gotten better with treatment. Patients will be randomly assigned to get either brentuximab vedotin or placebo. The placebo will look like brentuximab vedotin, but has no medicine in it. Since the study is "blinded," patients and their doctors will not know whether a patient gets brentuximab vedotin or placebo. All patients in the study will get rituximab and lenalidomide. These are drugs that can be used to treat DLBCL.