"We have to stay seven days anyway," he said.
"We approach each game similarly, but Russia in Moscow would be an incredible game to be involved in."
England controlled the game for long periods against Sweden, but needed three excellent second-half saves from Jordan Pickford to secure a 2-0 win after goals from Harry Maguire and Dele Alli.
"We knew it would be such a different game to Colombia (in the last 16) and we would have to come back from that and lift ourselves in a scrappier game as Sweden don't let you play," former Middlesbrough boss Southgate added.
"The resilience of the team and togetherness was special today. We got goals from both areas we thought we would as we worked on those.
"Pickford's distribution was superb and his save with 20 minutes to go was crucial." Russia take on Croatia in the last semi-final later on Saturday in Sochi.
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