The game earned comparisons with the Reds' European Cup triumph back in May but Alonso says the Reds should have built on Steven Gerrard's opening goal and not allowed Luton to take a 3-1 lead.
"It was an amazing game. Everything looked to be going for us after we scored the first goal early on but Luton came back, we missed a penalty and suddenly we found ourselves 3-1 down," said the Liverpool favourite.
"The comeback will have people talking about the Champions League final but we should never have got ourselves into that position. We should have built on our early lead but at the end of the day we still came back, we're into the next round and that is what's most important."