Allardyce last week said he was "not suited" to Rovers or his former club Bolton and would "win the double or the league every time" at the likes of Real, United, Inter Milan or Chelsea.
Allardyce was not being totally serious, though, and is amazed at how his comments have been blown out of proportion.
"I didn't think it would create quite as big a stir as it has done," said the 55-year-old.
"It was a tongue-in-cheek comment. Somebody asked me if I had found my level and was comfortable as manager at Blackburn Rovers.
"I'm never comfortable as a manager because I am always looking to improve, and my terms of wanting to improve is about having a burning ambition to always get better than I am.
"Obviously, in the end, that would always be to try and get to the very, very top of the industry that I am working in."
He added: "I believe in my own ability, that is the bottom line. At the moment it is with Blackburn Rovers, which I am very pleased about."