Big Sam was appearing as a guest on Sky Sports' Fantasy Football Show where he was asked to name a team of the best players he'd managed.
Allardyce had a wide range of players to chose from after spells in charge of Premier League sides Bolton, Blackburn Rovers and Newcastle United before his most recent job with the Hammers who he left in May.
The Dudley-born boss named just three three players from his time in east London among his best ever with Bolton stars making up most of the team.
Perhaps most surprisingly there was no place for Kevin Nolan who has captained Allardyce's Bolton and West Ham teams.
Mr Dependable: Jussi Jaaskelainen
The first of the three Hammers selected was dependable goalkeeper Jussi Jaaskelainen who was one of his first signings on taking over from the hapless Avram Grant when West Ham were relegated to the Championship in 2011.
The Finland legend had been disregarded by Bolton, where he had made his name as one of the best goalkeepers in the Premier League after establishing himself under Allardyce.
Speaking about the impact Jaaskelainen made, Allardyce told the Fantasy Football Show he was crucial in the club bouncing back to the top flight at the first time of asking.
"Played a fantastic part in our promotion year and surviving in the Premier League, but it was a close one behind Adrian (the current Hammers number one) and Shay Given," Allardyce said.
Winston Reid 'did a really fantastic job on himself and made great strides'
Next up, and the only current West Ham star to make the best XI, was Winston Reid.
The New Zealand defender had been long linked with a move away from the Hammers but signed a new six-year deal back in January.
And Big Sam admitted he was pleasantly surprised when he elected to stay with the Hammers.
He said: "I was surprised when we had a really long, arduous contract negotiation that somebody hasn't already enticed him away.
"Winston really had a horrendous first year at West Ham because he'd only just arrived and it was the year they got relegated.
"Then I thought he did a really fantastic job on himself and really made great strides in his consistency and particularly his defending and sensing danger."
Midfield marvel Stewart Downing
The other player selected from Allardyce's time at West Ham was Stewart Downing, who followed the 61-year-old out of the Upton Park exit for Middlesbrough this summer.
Allardyce said he was 'very surprised' Downing had been allowed to leave and lauded the ex-England international's ability.
He said: "He is such a talent that I actually believe a part of himself has stopped him being greater than he is, with the talent that he has.
"Sometimes I think he lacks a bit of self-belief. When we moved him in the hole at West Ham he was outstanding, and he was a good lad."
There was no place for Nolan – currently out of favour under new Hammers boss Slaven Bilic – and Allardyce quipped his old skipper would understand when he saw the players that had made the team instead of him.
Allardyce also admitted that should he land another management job in the near future he would investigate the possibility of signing Nolan for a third time.
Allardyce's best ever XI in full: Jaaskelainen (Bolton and West Ham), Beye (Newcastle), Gardner (Bolton), Reid (West Ham), Nelsen (Blackburn), Hierro (Bolton), Okocha (Bolton), Speed (Bolton), Djorkaeff (Bolton), Downing (West Ham), Anelka (Bolton).