Klaassen was all set to join Napoli on Wednesday, until the deal collapsed over image rights.
"It didn't seem the normal sort of problem to stop a transfer going through," Allardyce declared.
“That's the power of the player with the agent. There is nothing else we can do about that.
“If I'm sat in that position and have an agent, the agent works for me, not the other way round.
“For me it would never have been a financial decision. Even if I was losing money I'd be going because I'd want to play football.
“Davy wants to play football, but whether he got the full story I don't know. I can't really speculate much more, other than Davy is disappointed and we are disappointed.
“Apparently that's the norm at that club. Whether the image rights are not validated or are taken over by club, I don't know. It was all down to agent and Napoli really, that was the bottom line.
“Will he be ostracised? No, because Davy Klaassen doesn't give you the sort of problems some players do when they're not involved.
“He's a super professional and a super lad, and he comes in and tries his best in training every day.
“I just think the opportunity for him to go out on loan was missed by everybody that wanted a player of his calibre."