"It's the not the hour for an athlete to still be awake," Allegri, who left Ronaldinho on the bench for last weekend's Milan derby despite his full recovery from injury, said.
The playmaker featured for Brazil in Wednesday's friendly defeat by Argentina in Qatar and after returning to Milan on Thursday he was videoed outside a bar at 2am.
"Milan deal with issues within the club," chief executive Adriano Galliani stated.
"It's none of your business," he added when asked if the player would be fined.
However Ronaldinho's chances of starting on Saturday have been increased by Andrea Pirlo being ruled out with a slight thigh strain.