The 24-year-old was left out of the 3-0 win over Norwich for not being “mentally and physically good enough to play”, according to the Saints boss.
Koeman added: “If he keeps playing like this, he is playing with his future.”
The Dutchman reiterated forward Sadio Mane , linked with Manchester United, would not leave and said: “Nobody is for sale in this team.”
A Graziano Pelle strike and two goals from Dusan Tadic gave Southampton their first win of the season against the 10-man Canaries on Sunday.
Koeman revealed Kenya’s Wanyama, who joined in 2013, told him he wanted to leave the club during a team meeting last week.