Saints lost 1-0 at Anfield on Saturday.
"Maybe the occasion got to a few of us today in the first half," admitted Lallana. "It took us a while to settle. "We weren't our usual selves. But second half we were a lot better, and while it was 1-0 anything could happen.
"We wanted to stay in the game to the death. We made a couple of changes and Jay (Rodriguez) came on and was lively, but we just didn't get that clear-cut chance that we wanted and, obviously, we've walked away with nothing."