Allardyce has never seen eye-to-eye with Wenger from the days he managed Bolton.
The West Ham chief said: "We had some tussles. Whenever we beat Arsenal, if we weren't labelled 'long ball' then it would be 'physical'.
"It was frustrating but it used to make me really enjoy the fact we beat an Arsenal side which included players like Thierry Henry and Patrick Vieira.
"It was about finding a chink in their armour and exposing it.
"When you do that to top teams and beat them then their manager is not going to be very happy."