Allardyce believes that missed chances from his side are heaping more and more pressure on their shoulders, and hopes to address the situation ahead of next weekend's home match against Chelsea.
"I didn't expect it. The lads are very, very good, they're all supporting each other better than any team I've been involved with in the relegation fight. In the last few games I hadn't seen the sort of edginess I saw here so we'll have a talk about that in the week and try and get them to believe a little bit more in what they can do," he told reporters.
"Too many chances thrown away by ourselves has heaped more and more pressure on us. I still believe we should have beaten Arsenal last week and we've just not quite got enough sometimes to get over the line and to win the three points.
"I'll try and calm those nerves next week and give the lads a nice week, not heap too much pressure on them, and try and get them ready mentally to go out against one of the bigger teams in the league, who've had a bad season but have still got massively talented players."
In addition to Chelsea, Sunderland still have to face Everton and Watford this season, with one point separating them from safety as things stand.