The 23-year-old Spaniard played 34 times for the Blues after joining the club from Barcelona in 2011.
Romeu has spent the past two seasons on loan, at German club Stuttgart and at Valencia in his homeland.
He was on the bench for Chelsea's 2012 Champions League final win over Bayern Munich but missed out on the 2012 FA Cup and 2013 Europa League victories.
Saints executive director of football Les Reed said Romeu had been "on the radar for some time" and "matches the Southampton profile" of being "young, hungry and developed at a top academy".
"Like Ryan Bertrand, we believe we have recruited another Chelsea player with an excellent pedigree but also with lots of potential to develop," said Reed.
Romeu said: "After spending two years on loan, I needed something permanent and a club with a future - and I think I chose the right one."
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Southampton have signed Chelsea midfielder Oriol Romeu for £5m on a three-year contract.