Southee injured his thumb when he dove across with both hands to take England batter Joe Root's catch but saw the ball hit his thumb and deflect to third man.
Moeen Ali's four-wicket haul followed by Dawid Malan's century helped England beat New Zealand by 100 runs at the Lord's on Friday and seal the four-match ODI series 3-1.
A century by Dawid Malan and a four-wicket haul by Moeen Ali helped an all-round England secure a 100-run win over New Zealand in the fourth ODI to secure the series 3-1 at the iconic Lord's stadium on Friday.
Ali took 4 for 50 to bundle out Kiwis while Malan scored 127 from 114 balls. New Zealand all-rounder Rachin Ravindra's brilliant performance of taking four wickets and scoring a half-century went in vain.
"Mitch had a full scan on his knee, which he landed on when he took that catch in the last game at the Ageas Bowl," New Zealand's head coach Gary Stead said.
Phillips played a brilliant knock of 72 off 76 balls in the match at the Oval, however, New Zealand failed to win the third match and lost by 181 runs.