Karembeu, a former Real Madrid star, insists the coach will know how to react to the dismal 5-2 defeat.
He told Marca: "Atlético's thrashing in the derby against Real Madrid? Alonso knows his job well and has already shown with Leverkusen that he is capable of building a strong team.
"He is a former Real Madrid player and understands the nature of the derby. Yes, defeats hurt, but they are an opportunity to learn and evolve, both individually and collectively.
"Atlético remain a fierce contender for the title, so this defeat is just one step in a long journey."
Meanwhile, Olympiakos will face Real Madrid and Barcelona in the Champions League this season and Karembeu said: "It's always fantastic to challenge big clubs like Real Madrid or Barcelona.
"We have these two champions that we'll be playing against, first at home against Real Madrid and then also in Barcelona. It won't be easy, we'll try to fight. And, of course, it's obvious that any match starts with the objective of winning.
"Knowing that these two teams, Barcelona and Madrid, have more experience in the Champions League and in winning it, we are simply a competitor, an outsider who will try to give our best to win the match."