Wales manager Gary Speed was found dead at his home near Cheshire on Sunday aged 42.
"Alan Shearer broke the news to me (yesterday) and it turned me to jelly," said the Scotsman on Monday.
"I couldn't believe what he was saying. It shook me to the bones, I was in shock for most of the day.
"Twenty minutes before we went on air on Saturday, he was the normal Gary Speed to me.
"He was very excited about the prospects of the Welsh national team and was upbeat, looking class, immaculately presented. He was a movie star in my eyes.
"With no competitive Wales games until February, we were talking about getting some golf organised.
"There were no signs, nothing to suggest he was troubled. He looked well and things are going well for him at the moment. I could never have thought that 10-12 hours after I saw him I'd be getting that news. It's a nightmare."
McAllister added: "I couldn't see anything in Gary that suggested he was depressed or had any feeling of anxiety. He was just the Gary Speed that I know."