Allardyce was sacked along with assistant boss Neil McDonald on Monday.
“Everybody says this is football, and that’s the world we live in and all that, but what’s happened to Newcastle and what’s happened now is a real shame,” Nelsen told Sky Sports News.
“I know how much energy, how much time and passion the manager put into Blackburn, and Neil McDonald as well, so when you’ve been let go like that I can imagine it’s incredibly disappointing.
“I feel so sorry that it’s been handled like this.”
He continued on Allardyce: “Everyone respected him. He took the club out of the doldrums really.
“We were in massive trouble with no money. He solidified us and put us into a top-10 position, and again he did it on a shoe-string.
“I’m just getting over the shock of it. We’ve got to get over it, but at the moment I want to say, and I can speak for nearly all the players I’m sure, that they will be devastated. He was a very likeable character.”
