Leverkusen had kept their unbeaten run going with some incredible last-minute heroics but that was never an option against an Atalanta side who were in control from the outset.
Ademola Lookman scored a hat-trick to secure a first trophy for the Italian club in 61 years and end Leverkusen’s hopes of completing the season unbeaten, as well as winning a treble of trophies.
“We weren’t able to play as we wished,” added Alonso.
“After the first goal they showed a great deal of energy and we couldn’t find solutions to counteract that.
“We couldn’t impose ourselves or fashion goalscoring opportunities.”
Leverkusen need to dust themselves down and switch focus to ensure they finish a memorable campaign with a second trophy.
On Saturday they face second tier side Kaiserslautern in the German Cup final as they look to complete a domestic double.
“To achieved what we have for a club like Leverkusen is great,” Alonso added on TNT Sports.
“To be in the last week of the season having lifted the Bundesliga and playing [the Europa League final], we couldn’t make it, but then going for the Pokal [German Cup] too means a lot.”