The Frenchman was under pressure after a dismal 2-0 home defeat to Dinamo Zagreb in the Europa League on Thursday put his position in doubt ahead of an international break.
Sunderland, though, bounced back for a huge three points thanks to two controversial penalty decisions.
Chelsea were furious that Cole Palmer was not awarded a spot-kick for a foul by Luke O’Nien moments before the only goal of the game.
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A VAR review deemed the contact made was outside the area and therefore could not be overturned.
Sunderland were awarded a penalty at the other end 10 minutes before half-time.
The visitors were again aggrieved that Levi Colwill was adjudged to have fouled Brian Brobbey as both players grappled in their attempt to reach the ball.
Le Fee dispatched the resulting spot-kick past Mike Penders and Sunderland held on for just a second league win of the season.
Speaking about both incidents, Alonso said: “I haven’t seen Cole’s one, but I’ve been told that there was a chance that it would be a fair penalty and it could have been given.
“The other one, not happy with how we defended that situation, something that we could avoid. From that action to give a penalty is not good from us.”
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Chelsea missed the presence of Joao Pedro up front as Palmer and Morgan Rogers were kept in check by the home side.
A fourth defeat in 10 league games under Xabi Alonso leaves the Blues in fifth, two points outside the top four.
“I think we didn’t deserve more than probably one point, the game was really close,” Alonso said.
“We were against the low block, we missed a bit of patience, a bit of quality, creativity in the last third to create more chances.
“We need to be more consistent to move the ball from one side to the other, we didn’t do good enough.”
–AFP
Photo by George Wood/Getty Images
