The former player and manager at Elland Road was talking about the 2008 play-off final defeat to Doncaster Rovers.
The former Leeds midfielder told the paper that despite having a penalty saved playing for Scotland v England at Wembley in Euro '96 - losing the play-off final to local rivals Doncaster Rovers was a far more harrowing experience:
"We had lost 2-1 at home to Carlisle in the first leg of the play-off semi final and then won 2-0 at their place to go through. So it was great to reach Wembley.
"Leeds fans probably outnumbered the Doncaster fans 8-1 in the final. But it turned out to be probably one of the worst days I've had in football. It was right up there with my penalty miss at Wembley. There's no doubt, it was equal to that.
"Leeds had dropped to the third tier of English football and here was the chance to get back into the Championship. So to see the disappointment on the faces of the Leeds fans that afternoon was tough to take."
Leeds had scraped into the play-offs that season but had also had 15 points deducted for going into administration - so it was quite an achievement.
But for Leeds fans it was a crushing disappointment not to go back to the second tier at the first time of asking.
McAllister, who played nearly 300 games for Leeds as a creative midfield operator, would only last until the following December in the job.
It took Leeds until the 2009-10 season to earn promotion back to the Championship, under the leadership of Simon Grayson - who is now hoping to take Preston North end back to the second tier of English football.
McAllister now can only watch on as a fan and hope that Leeds can soon make the next step up, back to the Premier League. However, given the current mess at the club, it seems a far-fetched prophecy.