Lallana was speaking after victory over Hull City.
"It has been an emotional week, a very proud week for my family," Lallana said.
"It has been a proud week for the club as well, with J-Rod and Rickie also being named in the squad.
"It just proves how far the club has come forward and it is credit to not just the players, but the management staff, chairman, the scouting and recruitment department, and the fans, who have stuck with us when we were in League One not so long ago.
"We are happy with the way things are going and we just want to keep performing well.
"Our next game is Arsenal at the Emirates and it doesn't get much tougher than that."
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