"Coming into a foreign country and succeeding as a coach is a fantastic challenge, " Allardyce told Radio 5 Live.
"That is something I want to challenge myself with, maybe later on my career.
"Some very good managers have left this country to go and manage in a foreign country and done exceptionally well."
Meanwhile, Bolton who are in their first European campaign, have been drawn in Group H, along with Besiktas, Sevilla, FC Zenit and Vitoria Guimaraes and Sam Allardyce seemed happy with the outcome.
"We are in an excellent group with some very good sides who will make it difficult for us," said Allardyce.
"At this level all matches will be hard but we are here on merit and we look forward to seeing where we might be travelling in Europe."
Bolton chairman Phil Gartside said: "I think we're lucky because we don't have to tell the players about European football - most of them have already been there. They're excited about it."