The defeat leaves the Hammers five points behind the Saints at the top of the nPower Championship.
“It was disappointing to lose our unbeaten away record but even more disappointing to lose it off a set-play,” Allardyce told the official site. “We didn’t really do anything in the first half although still had some chances. We conceded a soft goal from a situation we practice regularly. We are one of the biggest sides in the league but that didn’t stop us going one-nil down.
“Perhaps it wasn’t our day and it is a big disappointment to lose to Southampton, to lose our away record and find out when we wake up that they are five points clear of us. On the balance of play we should have still only been two points behind them.
“We knew it would be a difficult game because they have the best home record in the league. They are a good team but we should have rescued a point.
“At the end of the day, we cannot complain about the chances we have made at the best home record in this league. With our quality I would have expected us to score at least one or two.
“When we wanted it right at the most important time against someone in direct competition it hasn’t happened. We are second but still have a lot of ground to catch up. We will try and do that as quickly as we can.”