The Hammers were beaten 1-0 on Saturday evening by Ronald Koeman's side.
The Saints beat the Hammers on Saturday afternoon, with a goal from defender Maya Yoshida inside nine minutes handing all three points to the home side.
It was a highly disappointing display all round from Slaven Bilic’s side, as they struggled to make the breakthrough against a resilient Southampton team, who found themselves down to 10 men for much of the second half.
And reflecting on the game, Song says that sluggish start from his team was the key to them leaving St Mary’s empty handed.
“In the first 15 minutes of the game, we didn't start the match as you have to. That's already happened a lot,” he told whufc.com.
“After those first 15 minutes, we grew into the game, little by little. But I think that was the key to the match.”
“We have to concentrate better as we have done at home. That's the Premier League for you, if you start poorly, you pay for it.”
The Hammers will now be keen to bounce back as soon as possible from the disappointing defeat to Southampton.
They are firmly in the race for a place in Europe this season, currently sitting sixth in the table and just a point behind Manchester United in fourth.
That leaves European football well within their reach and they will be keen to ensure they secure it as reward for a fine first season under Slaven Bilic.