The 25-year-old midfielder was handed his first senior start, along with St Mary's team-mate Jay Rodriguez, although Saints striker Rickie Lambert missed out through injury.
However, apart from a couple of half chances, one of which Lallana saw deflected behind, England's much-changed attack never really clicked as a brace from Barcelona forward Alexis Sanchez, the second coming deep into stoppage time, settled matters at Wembley.
"It is mixed emotions really. I was proud to get my first cap, but disappointed," he said.
"We felt we had chances to get something out of the game, but just could not get that goal.
"I had a couple of chances in the first half, but felt I snatched at the second one especially, and was disappointed I did not convert them.
"I gave it everything and got through 75 minutes and was obviously delighted to represent my country. I hope it is not the last time."
Lambert hopes to recover from a muscular injury in his buttocks to face Germany on Tuesday night.
Lallana said: "We will analyse the game now and see where we can improve on in the next game, because we do not want to lose two games in a row here."
Rodriguez was deployed on the left of a front three.
The 24-year-old also felt it was an occasion to savour, despite the disappointing final outcome.
"It is an unbelievable experience - even singing the national anthems," he said.
"I couldn't believe it when I found out I was starting. Obviously it is what I have always wanted.
"It is just disappointing we didn't get the result."
Rodriguez added: "It is a learning curve for me. The standard is unbelievable, but I am learning so much in a short space of time."