The film, which also stars Timothee Chalamet, Elle Fanning, Diego Luna and Liev Schreiber, has been shelved in the wake of the #MeToo movement.
"It's a terrible shame. I'd love to see it. People worked really hard and put a lot in, obviously himself included," Law told The New York Times.
In late 2017, Allen faced resurfaced allegations of child molestation by his adopted daughter Dylan Farrow, who publicly claimed in a New York Times open letter in 2014 that Allen molested her as a child.
The filmmaker has long denied the allegations, which were first reported during his 1992 split from Farrow. The director was not charged, though a Connecticut prosecutor said there was probable cause for a criminal case.
Many actors, who had worked with the 82-year-old director, donated their salaries or said they would never work with him again.
Law did not and explained his decision, saying, "I didn't really want to get involved, to be honest."
"I just don't feel like it was my place to comment, and it's too delicate a situation. I feel like enough has been said about it. It's a private affair. (As for working with Allen again) I don't know. I'd have to consider carefully," he added.