Ex-Rovers boss Allardyce revealed how close he came to signing Raul - and his midfielder team-mate Guti - last summer when they were both leaving Real Madrid.
Allardyce explained to the Daily Star Sunday: "Both players were keen to come to Blackburn, not just to play in the Premier League but to link up with their great friend Michel Salgado.
"I had used Michel to set up the deal and, as far as I was concerned, it was all agreed - then the chairman, John Williams, got a bit frightened of it.
"I was very disappointed at the time but that's life. When you are with a small club with a small budget, those things happen.
"And the deal was never fantasy - no one can put fantasy to my name when you think of the players I took to Bolton when I was manager there. Who would have thought at Bolton that we would have brought players like Campo, Djorkaeff, Hierro and Okocha to the club? But that's what I am about.
"So, instead of playing in the semi-final of the Champions League for Schalke against Manchester United, Raul could have been playing for Blackburn, and he has proved this season that he is still a striker who can get goals at the highest level."