Sunderland drew 2-2 with Crystal Palace yesterday to move out of the relegation zone.
Allardyce has constantly stressed the importance of keeping clean sheets to his side, since taking charge at the Stadium of Light.
However, after taking the lead against Palace, they allowed Alan Pardew’s side back into the match.
Connor Wickham scored twice in the second half, and it required a last minute strike from Fabio Borini to rescue a point for the Wearsiders.
And Allardyce said: “Conceding twice really annoyed me. I say lose a goal, stay in control. Don’t let them score another. Our loss of control is the problem we have had a while. It frustrates me.”
Sunderland had looked to be in a commanding position when Dame N’Doye fired them into the lead in the first half, but they have struggled defensive all campaign.
It was not all doom and gloom after Sunderland’s draw with Palace, however, as it has moved them out of the relegation zone.
The North East side are now in 17th place in the Premier League table, and their next fixture comes against Southampton.