The defender was not happy with his performance as Wolves had to settle for a 1-1 draw at Molineux against the Saints.
He missed a clearance that allowed Danny Ings to step in and score the first goal in the game.
Speaking after the game with reporters, captain Coady said: "It was a tough game, but I felt we let them off the hook a bit with individual errors – mistakes at the back that cost us a little bit.
"I've got to deal with it better, it is as simple as that. We need to know when to not try and play out from the back.
"I need to improve, it is as simple as that. From my point of view, it is just something where I lost concentration of the ball.
"I was trying to look at what was ahead of me to start a counter-attack because I felt it was quite an easy ball to control.
"These things happen and we need to move on with two big games ahead."