Allen's comments come a week after he was defeated by former Gov. Tim Kaine (D) for outgoing Sen. Jim Webb's (D-Va.) seat. Webb won the seat from Allen in 2006.
Allen said he did not know what he planned to do next.
"Gosh, we're six days from the election," Allen told the Virginia newspaper. "I haven't determined what the next venture will be."
Allen added that whatever he'll do next he would "give it all my energy."