Balotelli only joined Milan in January following an eventful two-and-a-half-year spell with Manchester City, but there continue to be regular rumours about his future.
A recent spell of poor form has reignited the transfer talk but Allegri is adamant that the 23-year-old will not be on his way out of the San Siro this winter.
He said at a news conference: "I have absolutely no fear of losing Balotelli in January.
"He is a Milan player who is now living in a time when he's not playing well, but it can happen."
Allegri was speaking after Balotelli's agent, Mino Raiola, had suggested in the Italian media that a move to Chelsea was a possibility for his client.
Balotelli played under Jose Mourinho during his time at Inter Milan and they still have a good relationship, although Raiola accepts that AC Milan vice-president Adriano Galliani would not be keen to let him go.
"Balotelli and [Chelsea boss] Jose Mourinho could be reunited because they know each other and they didn't leave each other with hate," Raiola is quoted as telling TikiTaka on Italia 1.
"There was a not very nice incident between them, but they parted company on good terms. They have remained in contact and there is mutual respect.
"Balotelli to Chelsea could happen because Balotelli is a great striker, but Galliani doesn't want it."