Blues fans spent much of the 1-1 draw, which sparked a 6-5 loss on penalties, chanting the 19-year-old Estevao's name as he warmed up in front of them.
But despite the match being deadlocked at 1-1 from late in the first half, former Liverpool star Alonso resisted the temptation to bring on Estevao, who has played only 47 minutes in the Premier League this season, with his two starts coming in the League Cup.
"We started with Pedro (Neto), with Danny (Welbeck) and with Morgan (Rogers) up front," said Alonso.
"The game had very intense moments. We knew that it was going to be physical.
"And after we had to deal with Moi (Caicedo), he had little problems. Malo (Gusto), as well, he had cramps. So we were a little bit forced with substitutions."
Estevao's lack of action in the match was in stark contrast to when he grabbed the headlines in scoring the winner against Liverpool in their Premier League clash last October.
"I understand (Estevao's) situation and he could be happier for sure. He wants to play and to be part of the team," said Alonso of a player who cost a reported £29 million when Chelsea signed him from Palmeiras in 2024, though, he only joined them a year later.
"There will be moments for everything. I'm sure Este will have his moment - that's my responsibility.
"We know that the season is going to be long and there will be moments for everyone. Trust me, Este is going to play his role."
Fifth-placed Chelsea are at home to struggling Manchester United in the Premier League on Saturday.
