The two clubs meet tonight in the Capital One Cup.
Allardyce expressed surprise Sherwood had taken so long to step into the role.
"He's 44 and not been a manager. I thought he would have challenged himself a lot sooner,' said the West Ham boss. 'Obviously for him the right position hasn't come up.
"You must be crazy because you could be one of the 50 or 60 managers who end up with the sack every year. Sometimes you can think, 'Why the hell am I doing this?' But what else are you going to do?"