He never thought it was easy I believe. What's different is the significant public pressure after only one game is lost.
Sure, Xabi must be aware that it won't be easy to be a Real Madrid coach. Moreover, he needs to lead Real Madrid facing PSG. PSG is in their best form, all the players are on fire. It will be always difficult to beat a team in their best form. Meanwhile Real Madrid isn't in a good condition, many of the players get difficulty to play in their best form. They are also still adapting with the new tactic and formation applied by Xabi Alonso.
The real issue that Alonso underestimated is not the pressure, but the problems the team has. I think he thought it will be much easier from that perspective, Mbappe and Vinicius Junior and everything should be ok, but it isn't. Real Madrid is a powerful name, but with the players they now have I think they won't have a chance in La Liga against Barcelona, let alone in the Champions League.
If Xabi Alonso can't improve the mentality of Real Madrid players and choose a proper tactic, it can be true that they will fail against Barcelona in La Liga and fail in UCL again.