Saints have now gone more than 450 minutes without scoring a goal, although their efforts were not helped by a fine display from Colchester keeper Mark Cousins on Saturday.
Cousins denied last season's League One top scorer Rickie Lambert as Saints desperately sought a winner.
He first reacted sharply on the hour to dive low to his left and push away a Lambert volley and, in a hectic climax not in keeping with the rest of the game, again thwarted Lambert in quick succession from free-kicks.
Southampton were awarded two free-kicks in injury time which fell within Lambert's range, and on both occasions the striker curled his kick around the wall only for Cousins to stretch full length to claw away the shots.
The hosts dominated play but could not break down Colchester's stubborn resistance, and the U's almost sneaked a winner themselves when substitute Kayode Odejayi set up Ashley Vincent who saw his shot smothered by Saints keeper Kelvin Davis.