Allen, who was 24 years old, was found shot and killed in Jefferson County Wednesday evening, days after he was last seen alive near his home in Aurora.
Aurora police arrested two teenagers Thursday suspected in his homicide.
Friends and family organized a candlelight vigil on the football field of Montbello High School, where Allen graduated in 2012.
"Why our cousin? Why our son? There's always that question," said Allen's cousin, Devon Allen.
His father, Gayland Allen Sr. says although they're grieving, they're not lonely thanks to the outpouring of support from the community. But friends and family are still unsure why someone would want to hurt Allen.
"The way he left this earth no one can really understand because he wasn't about the violence and things of that nature," said Allen Sr.
Allen's mother says he was known as "lion" for his strength but also had a soft heart.
"He would stop if someone was mowing the yard and finish the job for them. He was a pillar and this is tragic," said Lisa Allen.
As the family placed candles along the track that Allen spent so much time on, they thanked each person for showing up and offering support.
"It's going to be hard to move past this. But as a community and as a family we're lion strong," said Lisa.
This isn't the first time the family has dealt with heartbreak of this magnitude. Allen's twin sister died in a 2003 swimming accident. Lisa says she knows now that her twins are together.
A GoFundMe has been established to help pay for funeral services and a headstone.