Wenger has won only 10 of his 24 duels with Allardyce and his team have been defending poorly in the air.
"It was always intense," said Wenger, when asked about his struggles against Allardyce's Bolton Wanderers.
"It is a concentration challenge. You can have a virtual domination and lose the game.
"West Ham are well balanced, a good mixture between direct and technical play. He is a good manager because he lasts.
"Our relationship is all right. I respect everybody, even if I don't look like I do."