Rooney will lead England out against Malta this Saturday in their World Cup qualifier under his third international boss in three months.
Gareth Southgate was named England interim anager after Allardyce was involved in an investigation into __football corruption conducted by the Daily Telegraph.
And Rooney expressed his sympathies for Allardyce who made no secret that the Engand job was his dream.
EVERYTHING YOU NEED TO KNOW ABOUT ENGLAND'S CLASH WITH MALTA
“It is a shame. I think everyone could see how excited Sam was for the job," said Rooney.
"He showed that to the players, it is a shame. I am sure he deeply regrets it but that was a decision for the FA to take.
"Everyone seems fine and happy, we just need to work on how to play on Saturday.
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"I am not sure if it is starting again, we need to build on the three points in the last game.
“We have to concentrate on football. I am sure there will be no problem doing that and the other side is not our issue.
"It is not for us to be concerned about it we just have to play the game.”
Rooney's role with the national side has been under heavy scrutiny since the Euro 2016 debacle.
But Southgate was quick to announce there would be no change to the England captaincy in his first press conference on Monday.
"There was a lot of talk over whether I'd be captain or not, so it was good Gareth put that to bed quite early and there wasn't the speculation," Rooney added.
"We've got two games this week that we have to win. Whether that was with Gareth or Sam we have to try and get six points. If we do that Gareth will be happy and we'll be happy."