Have read with interest some of the serious points made. Luckily I didn't have the problem with my boys. The girls were not that interested until puberty. Then I couldn't keep them away from footballers!!
As for the original posters predicament...........I would say give him his Chelsea shirt if that is what he wants. As others have said if he goes to ST Mary's with you just tell him he will not be able to wear it. If he doesn't then just gently rub it in and have a laugh with him about it. If you don't see Saints on a regular basis then I suggest giving him a real opportunity to see them sometime. Once he and his mate fall out, as kids often do, the Chelsea shirt will probably go into the waste bin.
I would suggest though that once he and his mate are seen together wearing the same shirt they are likely to be in for a ribbing especially down here in Southampton. If you live in the sticks it is not going to be such a problem for them probably though.
Children will make there own minds up, just as you probably did, Its all part of the growing-up process.
Mind you one of my Sons had a similar problem with my Grandson, they went to the Dell on a regular basis but, the little blighter supported
Arsenal for what ever reason!!
He still supports Arsenal today and is a bloody season ticket holder!!! Oh Boy though........ has he had the Mickey taken out of him this week end.

There is worse things your lad can do, so I wouldn't lose too much sleep over it.