The former Liverpool star and England coach told the Bolton Evening News: "The game excites me, this club excites me and just look at the supporters.
"I'm not being glib, when I say it, but they were fantastic. They went all that way and gave us incredible vocal support.
"I've got to be honest, if you fail to get excited by football, and especially the atmosphere of European football, then there's something wrong with you.
"I was only at this club for a short time as a player but the way I was treated gave me a great affinity with the club that has never receded.
"So I'm really pleased for everybody associated with Bolton Wanderers - the supporters, the board, the owner and the players - that they're off the mark in Europe."
"For all my experience in Europe, I'm still learning and I'm learning in particular from this man," Lee said Allardyce.
"His tactical changes and substitutions are absolutely fantastic.
"It's no discredit to anybody who comes off, but sometimes the game needs a change and his ability to see it and effect the change is superb."