The former Newcastle manager was dismissed after the club was sold to Indian company Venkys London Limited for £23million in November, despite guiding the club to a respectable 10th place finish last season.
Allardyce was replaced by his first-team coach Steve Kean, even though the former Fulham and Coventry assistant has no previous managerial experience.
Along with Allardyce, Chris Hughton was also sacked even though his newly-promoted Newcastle side were sitting 12th in the Premier League.
Bruce admits he doesn't understand why the likes of Hughton and Allardyce were dismissed and says he is worried by the amount of clubs under foreign ownership.
It baffles me what has happened with Sam," Bruce said.
"How you can go from experienced managers - tried and tested and successful - and give it to, no disrespect to Steve Kean, a rookie, baffles me.
"However, they got a result the other day and have good players. They were tenth in Premier League last year, what has gone on is unbelievable. Then again I have been in it long enough to know how crazy it is all of a sudden.
"For me football clubs have been here for a 100 years or more and especially in a little town like Blackburn for instance when they get 20,000 out of a town of 50,000 it shows how much it means to them.
"I hope we don't have an influx (of foreign owners). We must be careful of who is buying the club and what their motive is.''
He added: "We have seen it before where clubs - Portsmouth is an example - get into so much trouble. Does any fan want their team to end up like that We have to hope a bit of common sense prevails.
"We can be very thankful. Of course our owner wants to win. He is a right competitor. But for what he has done in the last two or three years and the way he conducts himself maybe he is a lesson to most.
"The one thing is he lets me manage for a start and he has entrusted in Niall (Quinn) the welfare of the club, if you look at where Sunderland were and where they are now. That says everything.
"He is interested in the team. He asks about the lads but he has never interfered. All he has ever done is back me. That is important. I am very fortunate."
Bruce is now halfway through his three-year contract at the club and although negotiations over an extension haven't started, the former Manchester United defender is keen to prolong his stay on Wearside.
Sunderland have the youngest squad in the Premier League and the Black Cats boss, who celebrated his 50th birthday yesterday, admits they help keep him feeling young.
With the side sitting seventh in the table at the start of 2011, Bruce praises his young side for the attitude and maturity they have shown this season and hopes they can continue to improve in the New Year.
"I have tried to bring young lads in and yes they do (keep me feeling young)," Bruce said.
"They are a good bunch here, they have been terrific and even the other day the huge disappointment against Blackpool, was evident, they were absolutely gutted when they came in. It was fluke.
"The average age is 23 and there are times we are a bit naive but I would rather have it that way with what we have got. A young spirited group who can only get better. If I can do one or two bits of business in terms of real quality then I think that is the way forward.
"That is first time we have lost back-to-back but we shouldn't have lost against Blackpool. We have made big improvements this season. I am genuinely pleased with what we have done.
"They are a good bunch. Let's hope we can just keep improving and repeat what we have done over the last six months without the injuries.
"Of course there will be times of inconsistency but I am prepared to put up with that in terms of working with the group we have got."