A lot of that disappointment from the Head Coach came from the knowledge that victory at St Mary's would have lifted us into sixth spot in the table on Saturday night.
As it stands we remain ninth but still only four points off Liverpool in fifth.
"It's a disappointment but I don't think it's a big blow," said Martin. "We had a game in hand and it's still pretty exciting because I believe there are a lot of teams competing for fifth or sixth spot.
"We knew it would be tough. Southampton have only lost twice at home so as their away record is poor, they know they have to do it at home. They are fighting for their lives and did well but we should have got something from the game.
"The lads did everything we asked of them in the second half but score. We had the chances and you have to put one away."
Midfielder Michael Carrick agreed with Martin. "We're not getting too down," said the midfielder. "We're disappointed about the result, but we are still in a decent position. It was a chance missed, but hopefully there will be a few more chances to push up before the end of the season that we will take."
Although disappointed, Martin Jol insisted defeat at Southampton was just a setback rather than a big blow in terms of the overall picture in the Barclays Premiership.