Mauricio Pochettino’s men missed out on a quarter-final place after being dumped out of the competition on a miserable afternoon in Sunderland.
Craig Gardner’s stunning strike separated the teams, and, although Saints had opportunities to force a draw, they were undoubtedly the poorer team at the Stadium of Light.
Saints captain Lallana said: “We were disappointed. We were far from our best, but we still had a couple of chances at the end to maybe get a replay out of it – myself and Rickie spring to mind.
“We’re disappointed we’re out of the cup. It was a great chance for us to progress. But we just can’t get a win here at the Stadium of Light. They made it difficult for us again.”
With so many of the Premier League’s top clubs having been eliminated from the competition already, a visibly frustrated Lallana agreed that Saints had potentially given up a real opportunity of success.
He said: “Of course. Anyone that knows football, you’ve got to just look at the ties and look at the chance we had – a couple of Championship teams left in it.”
Defeat on Saturday made it three trips to the Stadium of Light this season without victory for Saints.
The club have now failed to win any of their last eight matches against Sunderland, with their most recent success coming back in 2003.
It was certainly noticeable how flat this latest performance was.
After making six changes from the side that won 1-0 at Hull last Tuesday, Pochettino presided over a far-from-dynamic display in the north east.
Lallana said he could not work out exactly why Saints had not been their normal selves.
“Not really. We had a few fresh legs in there as well, but sometimes you just can’t put your finger on it,” he said.
“As I say, we’re really disappointed not to at least get a draw out of it. We weren’t at our best, myself included.”
Lallana said that Saints had “a lot to think about over the weekend”, adding that they then intend to “have another good week’s training and get ready for the weekend game at West Ham.”