The 19-year-old watched from the substitutes' bench as Chelsea were eliminated at Anfield, with the manager deciding against introducing the highly rated winger despite the absence of attacking options Joao Pedro and Cole Palmer.
His latest disappointment has intensified questions about how Alonso intends to use one of the club's most exciting young talents.
Estevao arrived at Chelsea with considerable expectations following his development in Brazilian football, where his technical ability, creativity and attacking instincts established him as one of the country's most promising prospects.
He enjoyed an encouraging first season in England, recording eight goals and three assists in 36 appearances before an injury brought his campaign to an early conclusion.
However, his involvement has been considerably more restricted this season.
The Brazilian has accumulated approximately 172 minutes across eight appearances in the 2026-27 campaign, with only two starts.
A significant proportion of that playing time came in earlier rounds of the League Cup, making his continued absence from Premier League action particularly frustrating.
Wednesday's defeat against Liverpool was another opportunity for Estevao to demonstrate what he could offer, especially with Palmer and Pedro unavailable.
Instead, Alonso decided to keep him on the sidelines throughout the match.
The decision has inevitably raised questions about the manager's confidence in the youngster, although there is no confirmed indication that Estevao has requested a transfer or decided to leave Stamford Bridge.
There could be several explanations for his limited involvement, including the physical demands of English football, competition for places and the manager's assessment of his readiness.
Alonso has nevertheless acknowledged that the player wants greater involvement.
"Every player wants to play, wants to be part of the team. We have had some intense games and there will be moments for everything," he said.
"I'm sure Estevao will have his moment. It's my responsibility, and we need to deal with that."
Those comments offer some encouragement for the teenager, although they do little to remove the uncertainty surrounding his immediate prospects.
Estevao's qualities are not in doubt among many Chelsea supporters, who have been keen to see more of the Brazilian since his arrival.
His ability to operate in one-on-one situations, carry the ball at speed and create opportunities makes him an appealing option when Chelsea need additional attacking invention.
However, developing young players at a club with Chelsea's expectations can be difficult, particularly when results and selection decisions are under constant scrutiny.
Alonso must balance the need to compete immediately with the responsibility of giving promising players opportunities to develop.
The coming weeks could therefore prove important for Estevao.
Chelsea face Manchester United in the Premier League on Saturday before another domestic fixture against Sunderland ahead of the November international break.
Those matches will provide further opportunities for the teenager to demonstrate his readiness.
For now, there is no confirmed transfer development, but his lack of playing time has created a situation that Chelsea will need to manage carefully if they want to keep one of their most promising young players satisfied and progressing.