Ronaldo, who joined Juve in July after scoring 15 goals as Real Madrid claimed the Champions League crown for the fourth time in five years, finished second in the voting behind his former Santiago Bernabeu team-mate Luka Modric.
Modric had a fine season, capped by helping Croatia to the World Cup final, but it was nevertheless a surprise that Ronaldo was not chosen by a panel comprised of the 80 coaches in the Champions League and Europa League group stages as well as 55 journalists.
And Allegri conceded his new signing was unimpressed.
"Cristiano is fine and he has trained well," he said.
"On Thursday, he was angry because he won the Champions League and scored 15 goals. This shows that he always wants to be the best."
As for his decision not to attend the award ceremony in Monaco, Allegri said: "It was a personal decision and it must be respected."
Ronaldo will get the chance to take his anger out on Parma on Saturday after Allegri confirmed the Portuguese would start at the Stadio Ennio Tardini.
"Ronaldo and [Mario] Mandzukic will play. I still need to decide who will partner them in attack," he added.
Newly promoted Parma have made a slow start to life back in Serie A, taking one point from their opening two fixtures, but Allegri is not expecting an easy game.
He said: "Saturday will be difficult. Historically in Parma, Juve have struggled.
"Games on the eve of international breaks are always a danger."