Chelsea have been strongly linked with a move for the 26-year-old since the end of the 2016-17 campaign, and it is understood that the Blues are prepared to break the transfer record for a defender in order to sign the full-back.
Allegri, however, has insisted that Juventus will not allow Sandro to leave Turin ahead of the new season.
"Alex Sandro? He's a Juventus player, he's extraordinary and he won't leave us," Allegri told Premium Sport. "He's improved so much since he came to Juve and he has the margins to improve again. Along with [Real Madrid left-back] Marcelo, he's the best in the world."
Sandro scored three times in 43 appearances for Juventus during the 2016-17 campaign.