The director, 80, said being a comic himself he did not mind the joke or the negative press that has accompanied him to the festival, which opened last evening with the screening of his latest movie "Cafe Society".
Allen said that he is a comic, and that he would never tell another comic what he or she can or can't say. He also said he wasn't offended at all by that as "everything possible has been written about me at this point in my life", according to Deadline.
The remark drew gasps from the crowd.
Allen was accused of sexually abusing his adopted daughter Dylan with ex Mia Farrow but there were no charges against him.
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The allegations resurfaced when Dylan detailed the alleged incident in a letter to the New York Times in 2014.
In reply, Allen had called the accusations ludicrous. He maintains that Farrow coached the child, then 7, during their bitter split.
The director's estranged son Ronan also criticised Hollywood for continuing to celebrate Allen and ignoring these allegations in a recent article.