Former Sweden, Barcelona, Manchester United and Hoops striker Larsson was an interested spectator as the Shrimpers picked up a 1-0 win at MK Dons on Saturday under the guidance of caretaker boss Gary Waddock.
He said: “Having Henrik Larsson join us on Saturday was simply part of the continuing interview process.
“I have a number of people to see this week and shall also be talking further with Henrik.
“This necessary due diligence to find the best option for the club is also not a negative reflection on Gary Waddock who is, in any event, well placed to influence our thinking.
“The team under his guidance did excellently against MK Dons.
“Whilst it is possible I am, nevertheless, doubtful a decision will be made, and implemented, by the weekend."