First-half goals from Jay Rodriguez and Rickie Lambert either side of John Terry's header ensured it was Saints who claimed the points and Benitez admitted the performance was not good enough as they dropped to fourth.
"You have to be really disappointed when you do not win," the Spaniard told Sky Sports.
"In the first half we did not play with the intensity required. In the second half we were much better and had more chances but the decisions in the final third were wrong. At least we had chances.
"We knew we were in a really good position and we're still in a good position but in the remaining games we must do something more and win.
"We have to start thinking about the next game as we cannot change the result now."
That next game is an FA Cup quarter-final replay against Manchester United on Monday and that fixture surely played its part in Chelsea making seven changes for the game at St Mary's.
Asked if he had been forced into resting the likes of Eden Hazard, Benitez said: "You say it, we were forced to do it and we did it."
The travelling Chelsea supporters were again left frustrated by the manager's substitutions as Demba Ba was left on the bench despite the team trailing.
Asked if he now considers dissenting voices a normal part of life at the club, Benitez said: "I concentrate on the game. That is it."