The Manchester United captain rued the lack of a cutting edge at Old Trafford.
A Dusan Tadic goal saw Southampton beat United at Old Trafford for the first time in 27 years and move above them into third in the Premier League table.
United failed to register a single shot on target throughout the defeat, a worrying statistic considering it was a home game. And, speaking to MUTV and Sky Sports, Rooney felt his side's failure to convert a number of chances was what ultimately cost them victory.
“I think we deserved to win the game but that's football," he said. "Overall we had the better chances and played the better football but we were punished for not taking our chances.
“We created three great chances late on and we had a few in the first half too. Southampton defended well but we were the better team and we feel we deserved more from the game,” he added.
The defeat was United’s first in 12 games, a run that has seen them rise up the table into the Champions League places, and Rooney feels Louis van Gaal's side will need to regroup quickly to maintain their push for European football.
“Losing at Old Trafford is always disappointing, but we can’t think about what could have been. We have to move on and start our preparations for our next game,” said Rooney.
Manchester United take on Queens Park Rangers at Loftus Road next time around, having failed to win away from home since the 2-1 defeat of Southampton at the beginning of December.