Allardyce, along with assistant boss Neil McDonald, was shown the door by Blackburn management today, making him the second sacked premiership manager this season after Newcastle boss Chris Hughton was cut last week.
New Zealand captain Nelsen, who has helped Blackburn to 13th place in the standings this season, was disappointed to see Allardyce go.
"Everybody says this is football, and that's the world we live in and all that, but what's happened to Newcastle and what's happened now is a real shame," Nelsen told Sky Sports News.
"I know how much energy, how much time and passion the manager put into Blackburn, and Neil McDonald as well, so when you've been let go like that I can imagine it's incredibly disappointing.
"I feel so sorry that it's been handled like this."
