The Dutchman said the comments were unprofessional but insisted he hoped the Croatian would remain at the club.
"A player shouldn't say something like that, it's not very proper," he told Fox Sports.
"We just have to wait how it develops. For now, Dejan can still play with us. I don't want to lose him but, if he leaves, he will only go for a top price."
However, if Lovren does leave, Koeman has already confirmed then man who he would like to bring in.
"Ron would definitely be an option," confirmed Koeman when asked about Aston Villa's Dutch centre-half as a potential replacement before admitting "although I think he won't be cheap right now. Well, let's just wait and see."
Vlaar's value has sky-rocketed after a super World Cup but the Saints do have money to spend after the recent sale of Rickie Lambert and Adam Lallana to Liverpool and Luke Shaw to Manchester United for a combined £70 million.
Southampton have already reacted by bringing in striker Graziano Pelle and playmaker Dusan Tadic.
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