The former AC Milan chief has won three consecutive Serie A titles in charge of Juventus, and is well on his way to making it four out of four. Having bounced back from that defeat well, Juve now face the prospect of two quarter-final legs against Zinedine Zidane's side.
Marcelo scored Real Madrid's third in the 72nd minute, shortly after Paulo Dybala had been dismissed for a second yellow card.
Allegri has already revealed that he was already thinking about life after Juventus and wants to leave Italy, saying: "Certainly I will go overseas. You can only congratulate him for what he's doing at present", Allegri said at a press conference.
"However, I am disappointed about the third goal, because at that point we still could have turned the tie in the second leg".More news: US Open champion Stephens wins Miami Open title
Allegri added, quoted on www.uefa.com: "Real Madrid were devastating with their final ball".
"At his best? No, I think he was the usual Ronaldo".
Juventus fans stood to applaud the effort, and Real Madrid head coach Zidane said: "You can say he's one of the most handsome players in the history of football".
"We feel a real sense of disappointment because we probably won't qualify".More news: Trump said to tell embattled EPA chief `we've got your back'
Allegri was frustrated with his team's lack of concentration in that game, but believes the experience has made them a better side.
They now look set to exit the competition, however, after being thrashed 3-0 by Real Madrid in the first leg of the clash in Italy.
Speaking at his pre-match news conference, he said: "Of course, we have watched the final again several times, and I would say that the team, especially in Europe but also in Serie A, has improved a lot, especially in managing the hard moments during the match. Going forward, though, we always know how to cause teams problems", the Frenchman said after his return to Turin.
"Cristiano is in good form at the moment".More news: Oklahoma teachers chalk cars to spread message about needed funding