Allen was beaten 4-2 in Belfast by fellow Northern Irishman Jordan Brown in his first match since an agonising World Championship semi-final defeat to Wu Yize in May.
The 40-year-old took a break from the World Snooker Tour for personal reasons, but hinted retirement could be on the horizon due to being in a "bad place".
Asked how he felt about returning, Allen told TNT Sports: "Not good if I'm honest, really overwhelmed. I'm in a bad place at the minute.
"I think if I wasn't playing Jordan I wouldn't have come back. I felt like if I was going to play one last time, playing here at the Waterfront (Hall), where it all started in 2005, against one of my best mates, I thought that was a better way to sign out."
Pressed further on whether he was serious about bringing the curtain down on his career, Allen said: "Yeah. "I've been flooded with support, but problems are within. I just don't see a future of us sticking in it, if I'm honest.
"It's sad to say because it's all I've loved to do since I was 12, but the last few months have been really difficult, and it sort of put snooker into perspective for me. But tonight, I'm just trying to survive."
Allen has had a tremendous career, winning 12 ranking titles since turning professional in 2005.
He reached a third World Championship semi-final earlier this year and missed a match-ball black in the penultimate frame to take him into a maiden final.