Allardyce and assistant boss Neil McDonald was sacked on Monday, following Rovers’ 2-1 defeat to Bolton on Sunday.
He said: “I am very shocked and disappointed to be leaving Blackburn Rovers.
“I am extremely proud to have managed this club and I enjoyed a fantastic relationship with the players, my staff and the supporters during my time in charge.
“I now wish them and the football club every success for the future.”
