Sunderland suffered late heartache at St Mary's Stadium as Southampton scored a late equaliser.
Sub Jermain Defoe put Sunderland 1-0 up but they were pegged back late on by Virgil van Dijk's late equaliser in injury time.
It left Allardyce and his Sunderland players devastated by the result.
Sunderland spent more than a year tracking Virgil van Dijk when the centre-half was catching eyes north of the border.
In one of those quirks of fate, Van Dijk's stoppage time leveller for 10-man Southampton could have inflicted a huge blow on Sunderland's survival hopes after Sam Allardyce's men had been heading for three vital points.
Substitute Jermain Defoe's 85th minute goal looked to have secured all three points at St Mary's, moments after Southampton had been reduced to 10 men.
That goal had Sunderland heading for a win which would have sent them three points clear of relegation rivals Newcastle and Norwich, who both suffered defeats.
But in the 93rd minute, van Dijk finally found a way past Sunderland keeper Vito Mannone, who had produced a string of superb saves to keep the hosts at bay.
Southampton: Forster, Clasie (Juanmi 65), Fonte, S Davies (Ward-Prowse 65), Mane (Yoshida 83), Tadic, Romeu, Martina, Van Dijk, Pelle, Bertrand. Subs not used: Stekelenburg, Cedric, Reed, Olomola. Booked: Bertrand (8), van Dijk (31). Sent off: Fonte (80)
Sunderland: Mannone, Yedlin, Kaboul, Kone, van Aanholt, Kirchhoff (O'Shea 90), M'Vila, Rodwell, Khazri (Larsson 76), Borini, N'Doye (Defoe 59). Subs not used: Pickford, Jones, Toivonen, Mandron. Booked: Khazri (11)
"We are scoring goals, our only problem is clean sheets," added Sunderland boss Allardyce.
"And it is a massive problem.
"It was going to be my first 1-0 win and I was going to be celebrating with my family on Mother's Day tomorrow.
"Now, I am going to be crying into my wine, I am telling you that now.
"I won't be very happy and hope I won't take it out on the grandkids!"