The squad took to the water just hours after the defeat by Fulham at Craven Cottage instead of relaxing at home.
Allardyce said: "They needed what I would call active rest. It is all about recovering the players as best as we possibly could.
"The players are shoved in ice baths, then hot water and the process continues like that. It's what a player has to go through today.
"If you can last two minutes in the ice baths, I will pay you myself!
"But they accept it as part of their recovery now. It is not very pleasant."