The Brazilian has been struggling for form so far this season, and has since been linked with a move to hometown club Santos.
However, the former Cagliari boss has been happy with his player's performances in recent weeks, and sees him as an integral part of the rest of the campaign.
"Robinho is finding his form and it is normal that clubs around the world would want him," he told reporters.
The Rossoneri take on Reggina in the Coppa Italia on Thursday, and the 45-year-old is hoping for a good run in the competition this season.
"For us it is important to go as far as we can in the Coppa Italia," he told a press conference.
“In the early rounds nobody cares all that much, but if you win it your name goes down in the annals of history.”
Reflecting on the recent upturn in Milan's league form Allegri said: "We want to finish this calendar year as close to first place as possible."
Meanwhile, Milan has announced a new commercial partner in Asia, Guangzhou Evergrande, which has won the last two editions of the Chinese Super League.