The ex-Bolton Wanderers and Newcastle United chief could be in line for the Wales job.
Thierry Henry is among the other contenders to replace Rob Page, who was sacked after failing to qualify for Euro 2024.
"I've had quite a few Welsh coaches and know them quite well. You never know if you get on the shortlist for an interview,” Allardyce told No Tippy Tappy Football.
"I'd always take an interview, I wouldn't turn an interview down. You've got a team that's done brilliantly over the last few years but who are the next generation?
"Where's the next Gareth Bale? Teams like that always have to have one special player.
"With other countries they have one special player who can actually make the expectations for the nation greater than what they think because they can win a game any time."