The Italian striker has been left on the bench in recent weeks for his dip in form and disciplinary issues, sparking suggestions of a problem between him and Allegri.
"The coach has never made any exceptions - if he thinks something, he says it, and so he does the same when it comes to Mario," Montolivo told reporters. "Criticism is made to make you improve and it's right to criticise if it's necessary.
"Mario looks serene to me and I can't see any big difference to how he is at Milan. He's not particularly on edge, but I don't fear losing him. People are always trying to exaggerate things when it comes to him. Either we have to sell him, or he should be winning the Ballon d'Or.
"We all know what Mario's true value is. He's thick-skinned and knows there are both positive and negative times, that you get lots of praise and lots of criticism and I don't think he's particularly stressed. All of us at Milan know what situation we're in and we're doing all we can to get out of it."
Milan are currently 10th in Serie A with 13 points from 12 matches.