Los Che's awful form in 2012 continued as they were beaten 2-1 by the Eredivisie outfit on Thursday evening.
Brett Holman had given Alkmaar the lead before Mehmet Topal grabbed a valuable away goal for the visitors. However, Maarten Martens struck late on to ensure Alkmaar take a one-goal lead into next week's return leg at the Mestalla.
Despite admitting he was unhappy with the result, he insists he witnessed some positives from his side that gives him hope they can still progress from their quarter-final tie.
"We deserved to win and we did more positive than negative things," Emery said in his post-match press conference. "But this result leaves us unhappy.
"We always showed we wanted to win. AZ's goals really damaged us because we did not deserve to concede.
"This is a bad result, but it gives us hope. Now we have to be optimistic and continue like this: creating more chances than our opponents."
Emery refused to blame his players for the defeat though, and insists Los Che will not deserve to go through if they cannot be Alkmaar at the Mestalla.
"We wanted to win, we could have won, but we were not able to," Emery added. "We have to look at this tie as a goal of ours.
"If we cannot defeat them at home, it is because we do not deserve to go through."
Valencia are back in action on Sunday when they entertain city rivals Levante.