The Senegal international has been linked with a handful of clubs recently, including Arsenal and Tottenham Hotspur.
However, rather than insist that the 25-year-old is going nowhere, Allardyce confessed that he has been left "confused" by the ongoing situation.
"I'm as confused as everybody else. I've been listening to all that has been going on but having spoken to the chairman, we are relatively comfortable with what is going on with Mohamed Diame," he told reporters.
"Whatever [Diame] says to be today, could change in an hour. If Manchester United ring up, he's not going to want to stay, is he?"
Diame joined the Hammers on a free transfer from Wigan Athletic last summer.