Manager Ronald Koeman hailed Burnley's "unbelievable spirit" but was disappointed with Dusan Tadic's penalty miss as Southampton fell to a 1-0 defeat at Turf Moor on Saturday.
With the game goalless on the hour, Tadic saw his spot-kick well saved by Tom Heaton before Ashley Barnes scored the decisive goal for the hosts 13 minutes later.
Nathaniel Clyne hit the post for the Saints as they searched for an equaliser, but Koeman was left to rue Tadic's costly miss as his side slipped to their fourth consecutive Premier League defeat.
"It's good goalkeeping but it's a bad penalty," Koeman said of Tadic's effort. "I'm very disappointed. I think it's the same story as the last few games.
"We played well. The start of the game was difficult, they started a little bit better. They played direct football, battled for the second ball, but I think after 20 minutes we controlled the game.
"We didn't create a lot in the first half but from the start of the second half until missing the penalty we played great football. We had the best chances, had total domination and I waited for the goal."
Southampton had 60 percent of the possession and 15 shots to Burnley's seven, though Koeman says that mistakes once again cost Saints any chance of a result.
"We had good chances to kill the game at that moment and one mistake -- it's our throw-in and it ended with a goal for Burnley," he said. "Why we didn't win today, why we didn't win against Manchester United, and why we had a run of winning games, it's all about scoring chances and more mistakes in defence.
"Maybe it's a little bit [down to] confidence now as well after the four defeats."
Information from the Press Association was used in this report.