Southampton beat Hull City 2-0 at the weekend.
Koeman says that Southampton's performance was 'strange' because they never looked comfortable throughout the game.
The Saints looked nervy on the ball, according to Koeman, and he is determined to increase the players' confidence levels as they head into an important last few games.
“Everybody can play a poor game but I think I didn’t recognise our team because it looks very nervous, it looks very uncomfortable," he said.
“That’s strange because we play fantastic football, we have good results, we have a lot of clean sheets and we are in a good position."
Southampton's win over Burnley means that they have closed the gap on the top-four to just five points and they will harbour ambitions of making a unlikely late season charge.
The South Coast club may not have been in particularly brilliant form of late, but they have still been showing more than Manchester City and if they can continue to grind out victories then a Champions League place is not entirely out of the question.
At the moment a Europa League qualification spot looks a more obtainable target for the club, though, and that would still be a huge achievement.
Southampton have defied expectations this term and it is understandable that Koeman is determined to keep their performance levels up, as he will be determined not to allow the squad to undo their own hard work.