Koeman took his players to Switzerland during their recent two-week break from Premier League action, where activities involed taking to the rink.
However, the Dutchman urged his players to stick to the day job.
Asked whether the trip had been good for confidence, Koeman quipped: "It may have been bad for the confidence because I saw some of the players skating!
"I don't think that was very good for the confidence of the players. No, but it was something totally different to lying on the beach in Dubai.
"If they like to go to Dubai they can go in the summer.
"Some players were a little bit sceptical before going, but everybody was happy with what we did together.
"It was great to see, but playing football is totally different."
Jay Rodriguez is yet to feature this season as he recovers from a knee injury, but was with the squad on their trip to Davos.
"It was to give him that feeling of being part of the group," added Koeman. "He's doing well and progressing, but he's still not close to being part of the squad or the team."
Southampton visit Chelsea in the Premier League on Sunday.
