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He never said anything like that.
What he actually said ahead of the three-day warm-up match against Sri Lanka A in Colombo today was the side had put the disappointment behind it.
''There are a few guys here who were part of the World Cup. But this is a new challenge in itself,'' Southee said.
''There is not a lot of one-day cricket in the immediate future so our focus has now shifted to the test. But there is still conversations had about what happened in England and also about what we were able to achieve as a group.''
Southee did not play a big part in the World Cup. He was overlooked for selection for most games. Matt Henry was preferred.
Southee might find he spends a lot more time on the sidelines during the tour of Sri Lanka. New Zealand has named four spinners in the squad - five if you count Kane Williamson.
There is talk the Black Caps will go into the first test with three specialist spinners, with Trent Boult opening the bowling with all-rounder Colin de Grandhomme.
Southee, who is used to being one of the first players picked, has adjusted well to his new role as a support player.
''Getting an injury at the start of the tournament was not great timing. It is something you look forward to for four years ... and then to get injured on the eve of it was not ideal.
''But Matt bowled exceptionally well in those first couple of games and it became hard to get your spot back.
''You want to play as much as you can. But if you don't you have to soak it up, crack on and do what you can for the team.''
The subcontinent is a tough place to tour as a seamer but Southee will have good memories of Colombo. He took five for 62 and three for 58 in 2012 to help secure a 167-run win in the second test against Sri Lanka.
''It is so foreign to the conditions we are used to. We have a three-day game to acclimatise to it and get our first hit-out in these conditions.
''There are a number of guys who were on this tour a few years ago  and we had some success here. So it is nice to have that experience to call back on.''