The England international has recently emerged as a target for the Red Devils following his impressive start to the season.
David Moyes is rumoured to be plotting a £15m swoop for the 25-year-old, as he sets about overhauling his squad in the coming transfer window.
However, Lallana says that he is perfectly settled at St Mary’s Stadium, and that he is not thinking about leaving:
“I have got four years or so left on my contract.” He is quoted by The Mirror.
“I can’t express how happy I am at the club. I am so settled. Settled at home with a young child and my family live down here.
“I don’t think I am too comfortable either, I get challenged week in week out playing in the Premier League. It is where you want to be as a player.
“I learnt my trade in League One and the Championship and feel I have grown with the club.
“I am delighted and as happy as I have ever been here playing for Southampton with one of the best managers in the league.
“I have been here nearly 13 and-a-half years.”
Lallana’s impressive form this term led to a first international cap, and it is expected that he will make England’s squad for the 2014 World Cup.