The striker missed the African showpiece in Equatorial Guinea with a persistent back problem.
However, he came off the bench to score West Ham's winner in last weekend's FA Cup win over Bristol City, with Senegal still involved at the Africa Cup of Nations at that point.
FIFA subsequently confirmed that the Senegal Football Federation had contacted world football's governing body over the matter, while Senegal coach Alain Giresse claimed West Ham had set a "dangerous precedent" by opting to select Sakho.
West Ham co-owner David Sullivan stated on Wednesday that he does not expect any ramifications from FIFA and manager Allardyce insists the club have followed the rules.
"I'm not worried that Sakho will face a ban whatsoever," he said ahead of West Ham's Premier League trip to Liverpool on Saturday.
"We have stuck by every rule and regulation in the book."
Allardyce also dismissed speculation that Swansea City striker Bafetimbi Gomis is a transfer target, although he did reiterate that talks over a possible deal for Manchester United midfielder Darren Fletcher remain on-going.
On Gomis, he said: "With us having [Enner] Valencia, Sakho, [Carlton] Cole and [Andy] Carroll we have more than enough frontmen to cope with demand this season.
"Fletcher is still a possibility. The move isn't dead, but we'll see."
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