Hesketh had spent the first half of the season on loan with the League One side before returning to his parent club at the beginning of January.
The 22-year-old then joined MK Dons on loan for the rest of the season, which is a move Clough has questioned.
Albion's manager said: "We said all along that we'd like to keep Jake Hesketh on the same deal.
"Southampton wanted something different and wanted a bit of money for him, and unfortunately for Jake, he has ended up stepping down to League Two.
"I'd have thought that, having had such a good first half of the season in League One, Southampton would've wanted him to at least stay at this level.
"When you think they get £150m in the Premier League, a few quid for a young player isn't going to make too much difference for them."