Lallana has made six league appearances for the Reds since his estimated £25million transfer from St Mary's.
The 26-year-old came in for criticism for supposedly jumping ship, but Lallana said the notion of playing UEFA Champions League football was too good to refuse.
"Of course it was difficult. I had a great 12 years down there, really," Lallana told Perform.
"But it was a difficult decision, but I think I made the right decision and if I would have come to the end of my career, it would have been a decision I would have regretted you know, especially after playing in the Champions League for such a great club."
The irony of Lallana's switch is that Southampton are 11 points better off than Liverpool in the Premier League, and sitting second through 11 matches.
But the former Saints youth product said he was happy for Ronald Koeman's men.
"It doesn't surprise me, they've recruited well with the money that's obviously come into the club and they've just got great players down there.
"Look at Steve Davies, Nathaniel Clyne, Fraser Forster is a great keeper they've brought in, [Graziano] Pelle, [Dusan] Tadic, [Morgan] Schneiderlin, [Jack] Cork, [Victor] Wanyama.
"[They've got] great players down there. Still speak to people associated with the club as well, I've got friends down there."
Liverpool's strike force has struggled since the departure of Uruguayan talisman Luis Suarez, with Mario Balotelli brought in as cover.
Balotelli, a controversial figure, has come in for criticism, but Lallana said he felt that was unwarranted - and that more players needed to contribute to their goal-scoring issue.
"He [Balotelli] wants to be scoring more goals but I think we all need to chip in and score more goals, it's not just about Mario, it's about the whole squad working together and wanting to improve and I'm sure when we do that, the results will start turning," he said.
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