A loss at the Gtech Community Stadium means Alonso's team go into the international break with no win in their last three top-flight matches and issues defending set pieces have remained at the heart of the problem.
Jaidon Anthony headed Brentford 1-0 up just after the hour, after a corner was nodded back across the face of goal, before a close-range finish from Fabio Carvalho wrapped up the result.
Alonso admitted his concern over the matter and claimed defending these type of situations remains a major concern for him.
"Everything was disappointing especially the result, but we can do better. We must do better.
"For 45 minutes we competed well, but in the second half we dropped off, and conceded the three goals.
"You need to be very focused, and once you concede from set pieces, it gives them an advantage and control because once you concede the second goal it becomes much harder.
"We lost a little bit of our discipline. We have to correct that, as it was our mistakes."