"The foundation of what we are going to achieve has to come from clean sheets. We need to work on that 'no goals against' basis, " said the Bolton boss.
"We must not make it too easy for the opposition like we did against Chelsea.
"It is typical of the way football is that we are going into the game on the back of a mini-crisis.
"When we got to Wigan it was all looking quite rosy. But we have now conceded seven goals in two games after letting in only two in the whole of last month.
"It gets the alarm bells ringing in terms of things not being right.
"Players' confidence can turn very quickly as we saw only too clearly last season when we went on a losing run."
Allardyce has also been dealt another blow before the first game of the group stage with Stelios Giannakopolous and Gary Speed joining the forever growing injured list.
He said: "I thought we would get injuries but not this early in the season.
"Gary and Jay-Jay were always going to be doubtful then Stelios complained that his abductor muscle was troubling him.
"All the travelling may cause the injury to worsen. It is better he stays at home and is hopefully 100% when the next game comes around."
Meanwhile, Bolton's European opponents Besiktas have lost their manager after Riza Calimbay resigned from the post on Monday.
Allardyce said: "The main problem for us now is we don't know what system they will play.
"But we are looking forward to the experience. Hopefully we can cope with a full house and come away with our heads held high."