The Northern Irishman was dumped out by the 81st-ranked Chinese player 10-7 at the Crucible.
After the match, the world number 11 player raged at the match referee, who he believed to have missed a push shot.
Allen has caused further controversy by claiming that cheating if rife among Chinese players.
"The referee missed a blatant push. It was obvious to me and anyone watching at home would have been able to see it, no problem," said the 26-year-old. "Cao looked at the referee as soon as he did it, as if to say, 'are you not calling a foul here?'
"It seems to be a bit of a trait for the Chinese players because there have been a few instances in the past of fouls and blatant cheating going on. It needs to be corrected. He's a good enough player that he doesn't have to do that.
"It's very, very sad for the state of snooker if it has to be down to that."
A World Snooker spokesman has confirmed that the matter is under investigation.