The Elland Road club lost 1-0 to Doncaster Rovers at Wembley but, after starting the season with a 15-point penalty for breaking insolvency rules, McAllister revealed his admiration for the efforts of the players.
"It goes without saying how disappointed we are," said McAllister, who replaced Dennis Wise when he left to take a role at Newcastle United.
"But what I'm trying to impress on the guys in the dressing room is that myself and the coaching staff are very proud of them.
"To start the campaign with such a hefty handicap and get right to the final play-off match, they deserve to be applauded.
"That group of players won 27 games, gained 91 points and, barring the handicap, would have been promoted.
"We'll go away this summer and regroup. There will be a hardcore of those guys back at Elland Road."