Adam Armstrong and Matheus Fernandes had Saints 2-1 ahead before Mohamed Salah struck twice for the visitors.
Stephens later said: "We're really disappointed with the result. They're really poor goals to give away. We've come up short again and it's hard to take. It's frustrating to concede goals but a lot of our good play came from the situations as well.
"We'll have to look at it back and evaluate everything. It's about getting the balance a bit better. We get good moments from how we play. We've always got belief in this group. It's been a tough start for us, we know that as a group. We've stuck together and that's credit to the lads and the fans.
"We want to get the points to start coming and I believe they will. It's only going to come from us believing. Credit to the group because it's big. It's really refreshing when someone else comes in and it doesn't look any different. Everyone trains hard. I believe the results will turn.
"We've played against the best team in the league up to this point today and we caused them a lot of problems. We need to take the belied into Friday against Brighton."