Visiting fans were heard to chant, "Roman Abramovich, is this what you want?", during Chelsea's 3-1 Barclays Premier League defeat at Upton Park.
But Hammers boss Allardyce, himself no fan of Rafa Benitez, said: "Roman is the owner of Chelsea Football Club and he's entitled to do whatever he wants because of the amount of money he puts behind the team.
"He's been a great advocate for why the Premier League has become such a great brand around the world of football, by the money he's put in. What he wants, you have to deal with if you're the manager. And you have to deliver."