The Trotters manager is still kicking himself after missing out to West Ham for the signature of the Israeli midfielder in the summer.
Bolton were in pole position to snap up Benayoun from Spanish outfit Racing Santander but missed out after the Hammers offered better wages.
Benayoun, 25, has been an inspirational figure in West Ham's encouraging start to their Premiership campaign and is set to line up against Bolton in tonight's Carling Cup third-round tie at the Reebok Stadium.
Allardyce said: "We were very close to signing Yossi.
"In fact, we were in the boardroom and Yossi had a pen in his hand ready to sign a contract. We could have gone that extra mile but because we didn't we lost out.
"It's a failure on our part because he has started very well for West Ham."