Troy Deeney's late goal earned the hosts victory at Vicarage Road, as the Blues missed the chance to close the gap on seventh place.
“If you squander your opportunities, you can pay the price in the Premier League – it is as simple as that," Allardyce said.
“The opportunities we squandered by our lack of finishing in the opposition's final third ended up meaning we lost the game 1-0.
“We should have come off with a 0-0. But our problem away from home is not just the squandering of chances – it is also the fact that we are not picking up enough results to get us safe as quick as we can.
“You look at the results as a whole and you go, 'Great - 17 points out of the past eight home games', but then you look at the away results and you think, 'Wow - what is the difference?'"
He said: “It could have been avoided quite easily by us taking possession of the ball on the halfway line - and the hesitation between players caused us the problem initially.
“Then we saw an outstanding finish from Troy Deeney. If you give him that much room in the box he will score and that's what he did.
“For us, it's very disappointing because it looked like we were going to get a point today. It would have been deserved, too, but instead it's another bitterly disappointing result away from home."