The England midfielder left St Mary's to join Liverpool and has taken out an advert in the local newspaper to thank the club's fans for their support.
The 26-year-old was captain at St Mary's Stadium and rose through the youth ranks, helping the club return to the Premier League in 2012 after the team had dropped as low as League One in 2009.
However, the England international brought an end to his lengthy association with Southampton on Tuesday when he completed a 31 million euro switch to Anfield.
Lallana's tenure is thought to have ended on somewhat of a sour note amid reports he threatened not to play for the club again if the move to Merseyside was blocked.
Despite those suggestions, Lallana issued a statement in The Daily Echo expressing his gratitude to the club's supporters.
It read: "Thank you, 14 unforgettable years, the memories will last a lifetime. Thank you Saints fans for your endless support, a place in my heart forever."
Lallana is the latest star name to depart Southampton. Striker Rickie Lambert also joined Liverpool, while fullback Luke Shaw transferred to Manchester United.
With manager Mauricio Pochettino having also left for Tottenham, there is continued speculation surrounding center back Dejan Lovren while it has been reported that midfielder Morgan Schneiderlin is looking to leave the St Mary's.