A recent spell of poor form has reignited the transfer talk but Allegri is adamant that the 23-year-old will not be on his way out of the San Siro this winter.
He said at a news conference: "I have absolutely no fear of losing Balotelli in January.
"He is a Milan player who is now living in a time when he's not playing well, but it can happen."
Allegri was speaking after Balotelli's agent, Mino Raiola, had suggested in the Italian media that a move to Chelsea was a possibility for his client.
"There was a not very nice incident between them, but they parted company on good terms. They have remained in contact and there is mutual respect.
"Balotelli to Chelsea could happen because Balotelli is a great striker, but Galliani doesn't want it."
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