Liverpool captain Gerrard, who is currently injured forged a good understanding with Alonso in midfield. Alonso moved on to Real Madrid in the summer, since when Liverpool have struggled for form in the Premier League and Champions League.
"Devastated, yeah. Devastated. But there was nothing I could do about it," Gerrard told FourFourTwo magazine.
"Xabi said a long time ago that he wanted another chapter in his career and finally he got it and his team-mates and the coaches couldn't stand in his way. We just have to say thanks and move forward without him."
Liverpool recouped around £30million for 27-year-old Alonso, and spent most of that on bringing replacement Alberto Aquilani to Anfield from Roma.
Aquilani missed the first two months of the season due to injury and Liverpool have already lost seven matches.
Gerrard knew it would take Liverpool time to adapt to life without Alonso, who in a playmaker role had a vital duty in Rafael Benitez's team.
Gerrard said: "It's always going to be different when you lose one of the best players in the world - and people are finally realising that's what he is, on the back of his form for Real Madrid and the difference in us from last year.
"We've got other midfielders here doing a good job but it will take a while before Alonso's out of our system because he was such a top player."