The defeat leaves Chris Coleman's side bottom of World Cup qualifying Group A with a goal difference of minus seven after just two matches.
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The 22-year-old told reporters: "To be fair to the manager he has done everything he can to prepare us and send us out on to the field.
"It's us as players who are letting everybody down at the moment.
"I can say that on behalf of all of us - me included - it just wasn't good enough and we were to blame."
Allen added that the result was one of the worst of his career and is keen to make an improvement as soon as possible.
"It was one of the most disappointing situations I've ever experienced," he said. "As professional footballers we have to go back to work and the next time we pull on the shirt we have to make sure we're better."