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Antiquities, and Philosophy were his strong points. He was skilled also as an Astrologer; and by many of his fellow-beings he was looked upon as a Magician, his own scout declaring that ghosts went up and down his staircase, like swarms of bees, at all hours of the night. Aubrey says that in his later life, during the Long Vacations, he was wont to ride from Oxford into the country round about, to pay visits to his acquaintances. On one of these occasions the servant-maid, going to make his bed, and hearing a thing in a case cry "Tick-tick-tick," concluded, naturally, that the thing must contain Allen's Devil; whereupon, in order to drown the Imp, she picked up its abode with a pair of tongs and threw the whole combination out of the casement into the mote. The object caught on a bush, however, and would not be submerged, which was proof enough that the Devil was in it. "And so," continues Aubrey, "the good old gentleman got his watch again!"

Allen was an enthusiastic collector of autographs and manuscripts, which are supposed to have gone into possession of his favorite pupil Kenelm Digby, and to have been used by that writer in the preparation of his various works.

Allen gave up his own ghost in Gloucester Hall, and was buried with great pomp in what is now known as the Chapel of Trinity.