Jamie Vardy went closest for the Foxes, forcing a fine save out of Alex McCarthy in the second half and Riyad Mahrez shot just wide in the latter stages.
Southampton, in 18th place, are four points away from safety with four games remaining and face Chelsea on Sunday in the FA semi-finals.
"We hoped to get more out of the game and we had a couple of chances," Southampton manager Mark Hughes told the BBC.
"Only time will tell to see whether the point is enough for us. There was a little bit of apprehension in our play. The players are a little bit flat and we have got a big game at the weekend but we are not in the situation where we are downhearted," Hughes added.
"It's the disappointment of not getting maximum points, but the key was to get something from the game."
(Reporting by Simon Evans, editing by Ed Osmond)
