Reports suggested recently that Saints rejected an £18million bid from Liverpool as they are holding out for a fee closer to £25m.
Saints have already experienced something of an exodus, with Rickie Lambert, Adam Lallana and Luke Shaw already leaving the club for bigger and better things.
And Lovren, who has already submitted a transfer request, says his heart is set on a move to Anfield.
"Liverpool sent a 20 million offer and they [Southampton] paid nine million for me, so they would've earned twice the amount," Lovren told Croatian paper Sportske Novosti.
"At this point, I don't know what I'll do and I don't like it.Â
Dejan Lovren Player Profile
Frankly, my head is already at Liverpool
"It was unbelievable that a few days ago I had an offer of 20 million pounds.Â
"It was in the morning and by the afternoon the club had said I was not for sale. Frankly, my head is already at Liverpool.
"Liverpool sent the offer and the club haven't informed me.
"Not even about the subsequent Liverpool bids. That wasn't right.Â
"I found out about the bid from other people which disappointed me and I realised I've got no business staying at Southampton."