You are right that they are in rebuilding phase which is tough for team with such high expectations. Xabi Alonso has to win games and he builds team because if they start losing he could quickly be fired.
I don't think Xabi will be fired just because Madrid lost. Besides tell me who would be a suitable replacement for Xabi, especially to lead Real Madrid? It's not easy, especially since Real Madrid is not the type to change coaches like other teams. Let Xabi build the club through a process, not just expectations. Madrid fans will understand Xabi much better.