OK, this is only from my own personal experience, but I very strongly believe its psychological.
I took an allergy test a few years ago and I tested allergic to everything but the placebo! It was REALLY bad. I grew up with animals, and always had allergy issues, but I dealt with it. Any time I would enter a house that had cats or dogs, my allergies would go haywire. The teeniest scratch would welt up instantly and itch for days, leaving scars that took a long time to heal. No allergy medicine ever worked for me.
BUT, I was determined to have a cat! So we got Duke(siamese) and I figured I would try allergy shots -- NOT something I would recommend. But more importantly, I told myself that I didn't really have to be allergic to Duke... And I'm not! Not one bit!!! I get scratches, he sleeps right under my neck, I kiss him all the time... NOTHING! My niece is allergic to EVERYTHING and I told her it was psychological and to see if she could play with Duke (she'll believe almost anything I tell her). NOTHING! Not a sniffle!
Now I can go to my granny's house where my 11 year old german shepherd lives and not have a single issue. I can go to petsmart and play with the kitties for as long as I want, still nothing! I don't even take OTC Claritin!
Anyway, this is just me (and my niece) but its something that I now believe.
*disclaimer: I DO NOT recommend getting a cat to test this out on. That would be TOTALLY unfair to the cat! I was prepared to suffer through my allergies no matter what with Duke though, and while that was still foolish, it worked out for us and I am as happy as can be!