Allen was in the starting lineup for Erik Spoelstra's side in game five of the NBA Finals as the Heat slipped to a 4-1 series defeat to hand the title to the San Antonio Spurs.
The 38-year-old admitted that he will be mulling over his options in the next few days to decide his future.
"I've had a great career, I'm content with what I've done," Allen told ESPN. "It's hard to think past this moment. In the next couple of days I'll think about it and see where my true heart lies."
Allen has won the NBA title twice in his career along with being named an All-Star in 10 seasons.