The result leaves Sevilla winless since Alonso's appointment, who felt they were robbed of a penalty in the 1-0 defeat.
He later said: "The action of the VAR has not been correct, but very clearly. There is no clear image, we have reviewed it, that shows that it hits his elbow.
"It is seen that hits him on the a**, that is clear. Whether he can hit it later, graze the elbow, remains to be seen. There is no clear, compelling image. A team with the Sevilla hierarchy a lot of things are at stake and it is incredible that what happened to us today happens in professional football.
"And we add the penalty to En-Nesyri. For three or four seconds he tries to advance to finish and no penalty is awarded. I don't know what more penalty it could be, I don't see it."
He continued: "The team cannot be reproached for anything. It was the protagonist, we arrived countless times, I don't know how many corners... It is impossible to tell the footballers that they were bad. Those actions would have helped us make the score different. If that play by En-Nesyri was in midfield, he would have stopped and shown yellow.
"There is no choice but to raise our heads and think about what lies ahead. Continue believing in what they did today, in Villarreal, in the second half of Real, in the Champions League... By playing like this we will have great results, we will end up having a very good season. Zero reproaches to the footballers.
"To keep swallowing and look for victory on Tuesday."