The Saints boss is a frontrunner to become Tottenham's new manager, while the 18-year-old left-back is wanted by Manchester United and the midfielder has been targeted by Liverpool
Lallana has been valued at £30 million following a £20m offer from Liverpool at the end of the season but Southampton accept that the attacking midfielder is ready to push for a move to Anfield.
Shaw, meanwhile, was the subject of a £27m bid from Manchester United earlier in May and will be offered a six-figure weekly salary in order to join Old Trafford.
|200/1||Adam Lallana is 200/1 with Bet365 to be the top goalscorer at World Cup 2014|
"It would be amazing for us to keep the squad we've had, it's been a great season for us and you need your best players to keep going forward but obviously football is football and we don't really know anything at the moment.
"It's all just speculation but it's always the case when you've done so well because they're great players and they've been linked to great clubs so there are no surprises there."
Pochettino is one of the leading candidates to succeed Tim Sherwood as manager of Tottenham, although the 42-year-old has held talks over a new contract with Southampton.
"The gaffer is unbelievable and I think every player in the squad will say what a great manager he is and what a good guy he is," Rodriguez enthused of the Argentine.
"Everyone has a good relationship with him and you can see how well he's done with the way we're playing and the style of football we're playing. He's worked us hard and we're seeing the benefits from it. He's a great manager. I love playing under him."