Leverkusen took their unbeaten run to 35 games in all competitions after Patrik Schick's 92nd minute equalizer earned them a 2-2 Europa League draw at Azerbaijan's Qarabag.
The German side were 2-0 down with 20 minutes left before midfielder Florian Wirtz started the comeback in the first leg of the last-16 tie.
Asked about how close his side came to experiencing their first defeat of the season, Alonso said: "To be honest, I'm not too scared of the first defeat.
"It can happen, that's football... I won't be worried.
"The most important thing for me is that the momentum, the mood and the energy in the team is good. And hopefully that will still be the case after a defeat."
Leverkusen, who host the second leg on March 14, have a 10-point lead in the Bundesliga with 10 league games left. They host VfL Wolfsburg on Sunday.
