The Dutchman's side will attempt to become only the second team to beat Chelsea this season when they welcome the London club to St Mary's Stadium.
Newcastle United stand alone as the sole team to have overcome Chelsea in any competition this term, with Jose Mourinho's men remaining on course for an unprecedented quadruple.
Chelsea have responded to their surprise 2-1 reverse at St James' Park at the beginning of the month in the manner of champions by reeling off five straight wins.
However, despite Chelsea's tendency to sweep aside all-comers this season, Koeman has urged Southampton to be brave and attack their visitors.
"I am a coach that always tries to win," he explained after Friday's 3-1 success at Crystal Palace.
"They have fantastic football players but it's 11 against 11 and we will try to do everything to win that game. We know it will be very difficult but it isn't impossible.
"What we like to do is play football and to play attractive, offensive football and to go for it.
"But that is for every game, not just when our opponent is Chelsea or Manchester City.
"We will go for it. That's football and if you don't go for it, stay at home."
Southampton's win at Selhurst Park saw Koeman's side show some of the verve and swagger that lifted them as high as second in the table earlier in the season.
"We are dreaming a little bit because we are in a terrific position in the league now," he added.
"We had a little bit of a difficult time after two defeats. We're back now after two games in a row and that's important."
"It is a different test but we are in good form and are looking forward to the next game, even though it is a busy time," he told Chelsea's official website after the win over West Ham.
