The Albion had been vying for a European position in the Premier League until recently.
However, a series of defeats have meant that they may have to settle for a higher mid-table finish.
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After losing 3-0 to Fulham and ahead of a Europa League tie with Roma, Lallana said: I'm not embarrassed about the result one bit.
I see the lads what they put in and how they work.
I have full confidence we go to Rome and get a positive result.
I have been in this situation before, I have lost games before.
We lose 3-0 and on paper it doesn't look great but you grow when you lose.
We are the ones who have got us here but we keep fighting and we look to put it right on Thursday night, simple as that."