The 66-year-old former Liverpool and Rangers midfielder said he was from a generation which had been "extremely homophobic" but added that he had found a visit to the Pride Festival in Brighton last year enlightening.
But, speaking during a week in which the Premier League has supported Stonewall's Rainbow Laces campaign in support of gay, lesbian, bisexual or transgender people in sport, Souness said there was still much work to be done.
"I think the PFA and Premier League have to look at themselves," Souness said on Sky Sports.
"You ask the question "why has no one ever come out?" I don't think football has created an environment where anyone would feel comfortable and confident about saying 'I am gay'.
"There must be gay and bisexual players playing in the Premier League, there has to be, but no one has felt comfortable enough to come out and say 'this is me'."
Souness, who began his career in 1970 with Tottenham and played on until 1991, when he was player-manager of Rangers, added: "I came from a generation, a time in our football, where it was extremely homophobic, the banter in the dressing room.
"But nine months ago I came and took part in a parade here, and it was enlightening and I learned so much and it changed my attitude.
"It was a fabulous day out, it was sunny, it was mobbed, there were tens of thousands of people there and I found it extremely educational and it was a thoroughly great day out.
"I would tell anyone if you want to learn more to come down here to that parade and you'll come away with a completely different opinion."