Last night's Carling Cup defeat at Aston Villa, where they led 1-0 but conceded three second-half goals - two in very quick succession - highlighted a familiar problem this campaign.
In three of the four Premier League matches since beating Everton on the opening day of the season - their only victory so far - Rovers have taken a lead but failed to close out the game.
That is most unlike Allardyce's side and he knows it has to change.
"It is the clean sheet mentality," he said.
"The reason we were so successful last season was that we had 13 clean sheets in a very difficult season where the transformation of the team was massive.
"We know each other a lot better than we did then and we should be more experienced in terms of the know-how we should have but unfortunately we are not finding that to be the case.
"We looked all right against Everton, when it looked like it was all clicking into place, but then we went to Birmingham (losing 2-1).
"It starts to knock the confidence a bit when performances are good and results don't follow.
"We are not too bad but we should have notched up at least another win in the Premier League and we have got to make sure we get a win shortly.
"That heaps the pressure on winning the next two games away because winning away for us is much more difficult than winning at home.
"We have got to do it somewhere in the next two games, either at Blackpool on Saturday or Stoke."
Having seen his side pegged back by Fulham last weekend, Allardyce then had to watch as Villa staged a comeback to knock them out of the cup.
"It's been a pretty miserable week, especially after the Aston Villa scenario because I didn't see what was coming," admitted the Rovers boss.
"Normally you can see the opposition building up pressure but it went AWOL all of a sudden and that was disappointing considering the level we were playing at again.
"The first goal was something we should have done better with but two goals in the space of a minute or so was the real killer.
"That left me very disappointed last night but I don't think the Villa result has a huge bearing on the Premier League.
"But it would have been nice to win a game of football - which we haven't done since Norwich in the last round.
"It would have given us a great boost, had we won it, going into the weekend."
Defender Phil Jones, who has been employed in midfield this season, accepted the team had to tighten up after throwing away so many points already.
"We've been leading too many times this season and given games away when we should have won," Jones said.
"It is something we have definitely got to improve on and improve on it quickly.
"It is an absolutely massive game against Blackpool, we have to win and we know we have to, but we respond well to pressure."