Sitting one point above the relegation zone in 17th, Saints have a six-pointer this weekend in Newcastle and will be hoping they can create some breathing room.
The Magpies are just one spot above Southampton, and Stephens isn't downplaying how tough Saturday's challenge will be.
"Of course there is [a chance to go down]," Stephens told the Daily Echo.
"No one is too good to go down. We know we're a good side but we're not naive enough to think we won't go down.
"We don't think like that, we know how tough this league is and we know how good the teams are.
"We saw that Stoke aren't just going to roll over for us and that's the same going into next week and the rest of the games this season.
"Every team is fighting for a different reason."