Stannis just found out about the situation at the wall, I can imagine that Alliser Thorne will show up at King's Landing now (if he was going to ever). But his going to King's Landing isn't really that crucial to the story since they just ignore him anyways. It's supposed to signify how important and serious a situation it is for them to have sent their old Master at Arms, but I still think the end result (they brush him off) is enough to not necessarily include him in the show.
Just checked a game of thrones wiki and it says Alliser Thorne will be back in season 4...so maybe I was right (they were just waiting until now)