"For sure, it's not good news for us and we know we are in a difficult moment," Pellegrino told reporters. "Now we have to react because every team is difficult.
"After we make a couple of mistakes against this type of team, you cannot because they have got quality in front and they don't need too many chances to score.
"After the second goal it was really difficult for us to come back into the game."
The result means that Southampton have won just one of their last seven games.