The 44-year-old has earned rave reviews at the Amex Stadium since replacing Graham Potter in September 22.
He guided the Seagulls to a sixth-placed position in the Premier League to secure a first European campaign for the club.
And this season, he has ensured that the south coast outfit finished top of their Europa League group to seal their spot in the last-16.
His attractive style of play has seen him linked with Real Madrid and Manchester City, while he could be an option for Manchester United should Erik ten Hag be dismissed.
It's no surprise to Lallana that the Italian has plenty of admirers, but the former Liverpool midfielder insists that De Zerbi is happy at Brighton.
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The ex-Southampton maestro also stated how his manager's humble beginnings from coaching in the Italian fourth-tier keeps his grounded.
Speaking to talkSPORT on the latest episode of the Outspoken with White & Jordan podcast, Lallana said of De Zerbi: "It's not even a question, that the interest is already happening.
"Brighton are not naive enough to be blindsided by that, but I think Roberto is that honest and up front, that I'm not sure he wants that at the minute.
"He understands as well what a group he's got here, without egos and without no political games from players.
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"I think part of him thinks that if he goes elsewhere, he's not going to get a group as good as what he's got here.
"But for a manager to think like that, that's rare. Usually manages want to jump ship and want to go where there's more money involved or bigger transfer budgets or whatever.
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"But Roberto's that genuine. He started with nothing in the fourth league in Italy and he constantly reminds us that that's where he was.
"He started with nothing, so he doesn't need anything, he just need a bag of balls, some cones and bit of grass and we'll go out and train. That's all he wants.
"And when you've got a group of 20 honest fellas who are worshipping him and following him, that's all he wants, it makes him happy.
"Of course, there's going to be interest and eventually he's going to manage a top, top, top team, it's just a fact.
"But especially at the moment, he understands he's got it nice here at the minute, he's enjoying his time here and we can all feel that as players."