A lovely passage of Southampton play allowed Sadio Mane to get in behind and open the scoring in the 17th minute.
Ryan Bertrand then lashed home a second early in the second half and Toby Alderweireld's towering 53rd-minute header wrapped up the win for the visitors, despite Scott Dann's late consolation.
Warnock was left to lament the performance of his back four, hinting his side largely contributed to their own downfall at Selhurst Park.
Palace's manager told the BBC: "The three goals we conceded were very poor. We are renowned for keeping a good defensive record, but you can't defend like that. Southampton did not have to work hard for their goals."
The only teams to have conceded more goals than Palace so far this season are bottom side Leicester and Sunday's opponents QPR.
And Warnock admitted his team's defensive performance against Southampton may give his former club a boost in confidence ahead of Palace's trip to Loftus Road.
He added: "I can't fault the players' effort, but I imagine QPR will be rubbing their hands with glee if they have seen our defending.
"Without criticising individuals, we're disappointed with all of the three goals. We have had words behind the scenes."
At the other end, the hosts were once again without striker Marouane Chamakh, who remains sidelined with a hamstring injury, leaving Warnock tempted to invest in attacking reinforcements in the January transfer window.
"We missed Marouane and hopefully we can get a couple of players in to give us more options," he said.
"We're looking at a lot of players and we have made some offers, but it is just about trying to get those deals over the line."
