The England international sealed a reported £25m switch to Anfield on Tuesday.
The 26-year-old, who is said to have learned of the Reds' interest before England's failed World Cup campaign in Brazil, spent 14 years with the Saints.
After completing his transfer, the midfielder expressed his gratitude to the Saints fans via the Southern Daily Echo in an advert, which read: "14 unforgettable years, the memories will last a lifetime.
"Thank you Saints fans for your endless support, a place in my heart forever."
Lallana, who will wear the number 20 shirt at Anfield, will reunite with his former Southampton teammate Rickie Lambert, who signed for the Merseyside outfit last month.