Emery has lost his first two games as Arsenal boss to Manchester City and Chelsea.
It was clear from the game against City the Spaniard was keen on playing out from the back.
Goalkeeper Petr Cech had some nervy moments and the defenders did not look comfortable playing that way.
So Allardyce criticised Emery, saying it was not the way to play against the reigning champions.
“It is the manager’s fault,” he said on talkSPORT.
“You shouldn’t play out like that against Man City.”
However, this Monday Neville launched a passionate defence of Emery and called out Allardyce for his comments.
“He’s only five to six weeks in,” Gary Neville said of Emery.
“I saw Sam Allardyce’s comments on the radio after the first game, where he talked about ‘you can’t do this, you can’t do that’.
“Unai Emery’s not trying to get eight points from five games to avoid relegation.
“He’s trying to build a team to win a title. He’s trying to build a team with a style to win a title, not lump it long and get in behind.”
Sam Allardyce has now responded to the Manchester United legend, claiming “he always thinks he’s right”.
“Gary thinks he’s an expert in the field, as you well know,” Allardyce told talkSPORT on Thursday morning.
“Why he quite had a dig, I’m not that sure, but of course Gary is very open in his own opinion.
“Let me say this: I’ve managed seven Premier League clubs and over 1000 games – do you think I’m entitled to my opinion? I think so.
“So like I said, Gary is Gary, and in the end he thinks he’s always right, that’s probably the reason why he said it.
“But at the end of the day, people ask me for my opinion and I say what I see, I always give my honest opinion.
“He talks about me having to win five games to save a club from relegation, I never got five or six weeks [like Emery at Arsenal].
“If I don’t get a result in five weeks, the club I take over is relegated – so I have to do it in days.
“I have to work out the players immediately and convince all of them we have to turn results around immediately.
“So he’s not right in what he said, but Gary is Gary – he’s got his opinion and I’ve got mine.”
Arsenal will look for their first points of the season on Saturday when they host West Ham.
The Hammers have also lost their first two games of the campaign, against Liverpool and Bournemouth.