A draw against Group H leaders Sevilla would be enough to take Wanderers into the last 32.
He said: "I'm proud of the fact we haven't lost a match in our first-ever season in Europe - and I certainly don't want us to lose one at home.
"We have a tremendous record at the Reebok this season. We've conceded just two goals in the Premiership and four goals in all competitions, which is a remarkable effort.
"Our home record has been a bit patchy in previous seasons but we've turned it round to the extent that teams are scared to death of coming here now.
"It intimidates our opponents, and hopefully it will intimidate Sevilla because make no bones about it, they are a very useful side.
"Reaching the last 32 unbeaten would underline the quality of the players we've got here now."
Allardyce will not allow his team to sit back and play for the draw.
He added: "It would be dangerous for us to try to shut up shop because you leave yourself open to the risk of a mistake."