Joao Mario concedes Inter's form is a cause for growing concern after Frank de Boer's men slipped further off the pace in Serie A.
The Portugal midfielder scored his first goal for the club to open the scoring against Cagliari on Sunday but Inter slumped to a 2-1 defeat - their third consecutive loss in all competitions.
Southampton are up next at San Siro in the Europa League on Thursday, with growing questions over De Boer's suitability for a coaching post he entered shortly before the start of this season.
"I am very happy for my first goal but I cannot be for the game," Joao Mario said, as quoted by La Gazzetta dello Sport.
"We must continue to work. With these results we cannot be happy.
"It is hard to explain what happens to us when we play at home, now we go on to the next challenge."
Sunday's match was played out amid a volatile atmosphere following captain Mauro Icardi's criticism of Inter's ultras.
The Argentina international heard sections of the home support cheer when he missed a penalty, with the hostile situation showing few signs of blowing over.
"I do not want to talk about it and the locker room doesn't want to speak about it," Joao Mario added.
"I play football and do the best for Inter."