if you do indeed need an allen key seems to defeat the point of having a quick release!There was also this even more annoying type that bolted into the mudguard eyelets, so you needed an allen key to get your quick release wheel off. I seem to remember this type being marketed as some sort of anti-theft device though. (Excuse bobbins 'mobile phone in low-light' picture)
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You could also so it by un-dong the nut off the skewer and pulling it out, but if you had an allen key that way was quicker. I have two in my box of bits. I doubt I'll ever use themif you do indeed need an allen key seems to defeat the point of having a quick release!
Cheers Ed