Having inherited a side in the relegation zone, he pulled them out of trouble and led Rovers to a 10th-place finish last season, as well as reaching the semi-finals of the Carling Cup.
Although results this season have been mixed, the low point being a 7-1 thrashing by Ferguson's United last month, Blackburn lie 13th in the table, so the decision by the club's new Indian owners to replace a man spoken of as a possible future England boss was a major shock.
Allardyce's last game in charge was Sunday's 2-1 defeat by Bolton, the club where he established his managerial reputation.
"I had to pop in to see the chairman (John Williams) and he presented the rather shocking news to me," Allardyce told Sky Sports.
"It was obviously unexpected, but that's the world of football today.
"It hasn't really been explained to me and I'm a little confused in my own mind at the moment, but the reality will kick in in a couple of days.
"It's up to them now where they take the club forward. I'm not a part of it, I'm very disappointed about that and would have liked to have been a part of it - but I'm not."
Less than three weeks ago, the Rao family, who completed a £43m takeover of the club in October, gave Allardyce their public backing.
"We want results and Sam has taken up the challenge. He deserves a chance," said Anuradha Desai, chairman of the Rao family's chicken producing company Venky's.
Blackburn captain Ryan Nelsen told BBC Radio 5 live the news had come as a complete surprise, and the players had not even had the news broken to them officially.
Nelsen found out after receiving a text message from a journalist in his native New Zealand asking for his reaction to the news.
"I'm shocked and devastated - not in my wildest dreams did I see this coming," he said.
"What he picked up when he took over was a club in diabolical trouble, he's turned it round into an efficient streamlined club that's spent no money and done extremely well - it's the world we live in, but I just feel absolutely gutted for the man."
Former Tottenham manager Martin Jol, ex-Newcastle boss Chris Hughton and even former Argentina coach Diego Maradona are among the names linked with the vacancy.
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