Allan scored the winning goal in the 1999 League Cup Final against Leicester – the last time the Club played at the famous stadium.
And as the Dane spoke to tottenhamhotspur.com, the memories of how he felt in the hours leading up to the big kick-off came flooding back.
He said: "You just prepare for a Final like you would any other game – maybe a little bit more because at the end of the day, it is a Final.
"I remember walking into the dressing room at the old Wembley and I could feel the atmosphere of all the great players who had been in there down the years.
"Then you walk onto the pitch before the game and you see the big crowd, it was just a fantastic day all round.
"I always remember wanting to skip the pre-match warm-up and just get on with it because I was ready.
"The players will be excited and a lot of thoughts would have gone through their mind telling them how well they want to play and how this could be the biggest day of their lives."
We face a Chelsea side who have history against us on their side going into the game, but Allan is confident our current crop can emulate George Graham’s class of ’99.
He added: “It’s a Cup Final so you never know. Chelsea may be above us in the League, but I really believe we will win it.
“We’ve won it before and this is another great chance to give something back to the fans after what’s been a difficult season.”
The Spurs Megastore, along with the outlets in Harlow and Enfield, will be open from 8am until 12.30am on Sunday for you to get kitted out for Wembley!
In the second part of our exclusive feature with Allan Nielsen, our last Wembley hero gives us an insight into what our players will experience in the build-up to Sunday’s big game.