This loss came after an opening day loss to Colchester and elimination from the Capital One Cup at the hands of Bristol City while they are also yet to score this season.
Allen said: "I thought it was very disappointing. I don't think we played anywhere near where we can.
"Wolves had a very strong side but the one thing we wanted to do was keep them quiet for that first 20 minutes.
"But we never managed to do that and it gave them the momentum that they wanted. I can take a loss if there are some individual moments of brilliance but I thought we gifted them too many goals.
"All the players are very disappointed at not giving a good account of themselves on what was a big occasion for our club.
"The players showed great attitude in the second-half and gave something for our supporters to enjoy. But everyone wants that from the off.
"The important thing is that we don't pop the pills when we lose and we don't pop champagne when we win so just take it all in your stride deal with it, face up to it and work at what you have to get better at and then move on to the next stage.
"The players need help. It is all very well thinking I have to shout at them. That is the last thing they want. You want someone to help and guide your through it.
"That is what we did last year and is what we will do. There is no panic. It doesn't get me down I have had this for 40 years so the knocks that set you back you deal with it and get on with it."