Allen was generally regarded as a private individual who avoided the spotlight. While he maintained a high public profile due to his business ventures and sports team ownership, he kept details of his personal life relatively private.

Allen had diverse interests, including music (he was a guitarist), art, science fiction, and technology. He collected art extensively and enjoyed playing guitar with his band.

Allen never married and had no children. He was known to have dated several women but did not have any long-term, publicly known romantic relationships. His close friendship and business partnership with Bill Gates were among the most significant relationships in his life, though they experienced periods of tension and disagreement.

In October 2018, Allen announced that his non-Hodgkin's lymphoma, previously treated in 2009, had returned. He died on October 15, 2018, in Seattle, Washington, due to complications from the disease.