The former Liverpool player has confessed that a penalty could have been given against him but the official in charge of the game was the one at liberty to award a penalty
Replays show the home team were unlucky with the decision and also had another claim for a penalty when the ball also appeared to hit the hand of Sergio Ramos in the box in the closing moments of the game.
However, speaking to the club's official website after the game, Alonso stated: "There were many shots in the game. The ball did hit my hand but the ref deemed otherwise. We focus on playing football and don't think much of these things."
The former Liverpool man then moved on to expressing his delight at securing all three points and urged his team-mates to continue with their professional attitude in games going forward.
"We're very happy because every match is essential. We took three points which is a step forward, and we must go ahead. People can say anything they want, but the road towards the title is still long," he added.
"We have to take things slowly because it's been hard for us. Tonight's match was hard fought and it tilted towards us, but there are 12 games left and we must continue to be careful and professional. We know we can suffer an upset if we relax.
"We're having a fantastic run on the road which means we're doing a good job, but there are still many points and we shouldn't focus on what we've already achieved."
The victory has provisionally sent Los Blancos 13 points clear of rivals Barcelona, who face an away fixture against Racing Santander on Sunday.