Allardyce resigned as England manager this week after he was caught in a sting operation by the Daily Telegraph talking about how to deal with the FA rules during the purchase of third-party owned players.
"I heard about it. Everyone has been talking about it for two days," Klopp said.
"It's a problem for me to speak about this because I don't understand how you all jump on this.
"I have nothing to say. I have no experience of it. I can't be as excited talking about it as you are – that's all. It's not a positive thing.
"I have no experience of it so I have nothing to say."