The Senegal international had been linked with a number of clubs, due to a release clause written into his contract when it was penned during the summer. But Allardyce said no club activated the release clause and reckons agents are to blame for all of the deadline-day rumours surrounding the midfielder.
When asked if a bid had been made, Allardyce's bullish reply was: "Agent speak. It is agents trying to create a frenzy by seeing if they can make something out of nothing happen. By the fact nobody has triggered Mo Diame's clause is the reason why he is still here."
The former Blackburn boss said it was impossible to relax during transfer deadline day until 11:05pm, when he could sit with a glass of brandy, knowing he still had Diame in his squad.
Allardyce admitted it was a relief to still have Diame at the club, after the 24-year-old had impressed since completing a free transfer from Wigan before the start of the season.
"It is a massive relief to me," he said.
"It wouldn't have mattered how much money we got for him yesterday or the day before. It would have been a crushing blow because we couldn't have done anything with the money we might have got for him - certainly not to the extent of replacing a player at that late stage with the quality you are looking for. I am really pleased he is still with us."
With the stipulation in Diame's contract, there is always a worry that a club could return to secure his services at the end of the current campaign.
And Allardyce is aware there is nothing West Ham can do about it.
"No, we have already tried that," Allardyce said, when asked if Diame's contract could be re-negotiated to remove the clause. "At the end of the day we would wait to see what happens between now and the end of the season. Wait and see where we are and then take a view on everything and everybody at the club at that stage."