The New York-based movie maker also praised France for having overwhelmingly voted against against a far-right candidate, Jean-Marie Le Pen, in presidential elections this month.
"I've never felt that the French people in any way were anti-Semitic. I know a number of French Jewish people who live in France who certainly do not feel this way," he told reporters.
"I don't think a boycott is in order," he said.
The American Jewish Congress had taken out a series of adverts in Los Angeles comparing modern-day France to the World War II-era Vichy regime.
It listed what it said were similarities between 1942 and 2002, including the fire-bombing of synagogues and schools, and attacks on Jews in French streets.
But US studio executives, directors and stars have ignored the group's call to stay away from Cannes.
Allen rejected the claim, also wielded by the Israeli government, that a wave of recent incidents against Jews in France constituted generalised anti-Semitism.
France has Europe's biggest Jewish population, estimated at 700,000, and the largest Muslim population, estimated at five million.
French statistics showed more than 300 anti-Semitic acts were recorded in the first half of April -- corresponding to a new Israeli army invasion of Palestinian territories.
By comparison, there were 200 such incidents for all of 2001.
That violence, and the brief rise of Le Pen -- who once described the Nazi gas chambers as "a detail of history" -- prompted Israel to call for France's Jews to leave the country.
Le Pen lost with less than 20 percent of the vote.
"I think we ought to be very proud of France for the way they acquitted themselves in the last election," Allen said.
Allen was presenting his latest film, "Hollywood Ending", which was to open the Cannes festival in a special out-of-competition screening late Wednesday.