But he has to put on a brave face and dealt with it.
We've seen it before, exactly one year ago when Freddy Shepherd pulled the plug on James Milner's transfer to Aston Villa (just like Dyer and West Ham) after talks had been completed and the player had passed a medical.
West Ham boss Alan Curbishley insisted the deal was now "definitely off" to his great frustration and added "I have never experienced anything like this before".
Allardyce Tries To Defend The Undefendable
Allardyce: "If Curbs started it, then we are more upset than they are, that is a fact.
"Why? That is confidential. He is not as upset as we are about West Ham.
"In the end, we decided he was undervalued. We escalated the valuation to what we thought was realistic and West Ham did not want to roll with it.
"Kieron is back with us, a top player with a squad who are growing. Will it be difficult for Kieron? It's life, isn't it? He has got a contract. You sign it. The length of the contract means you are employed by an employer, something happens, it doesn't work, you come back and get on with it.
"If anything else happens in terms of West Ham increasing their offer, then great. If they don't then clearly they don't value him as highly as we do."