After Raheem Sterling gave the hosts the lead, Aguero was made to look very silly by Edouard Mendy after his Panenka fell easily into the hands of the Blues goalkeeper shortly before half-time.
Hakim Ziyech then grabbed a deserved equaliser for Thomas Tuchel's men, who will meet Pep Guardiola's side in the Champions League final on May 29.
And Alonso fired in a winner with seconds remaining after some good play down the left from Timo Werner.
The defeat means Man City were not officially crowned champions on Saturday, but a draw or defeat for second-placed Manchester United against Aston Villa on Sunday will cement their name as champions for the third time in four years.
Aguero's penalty, however, was undoubtedly the biggest talking point of the game and on commentary duty for talkSPORT, Sam Matterface and Trevor Sinclair couldn't quit believe what they saw from Aguero.
"He's chipped the ball straight into the arms of Mendy," said Matterface.
"It's the most casual, pathetic penalty you have ever seen!"
"Yeah, the goalkeeper has read it," former City star Sinclair replied. "It was fantastic play from Mendy, he stayed on his feet and kept his nerve.
"Aguero tried to Panenka it right down the middle of the goal and it's an easy take. It's let Chelsea off the hook."
"It was just ridiculously nonchalant," added Matterface. "It wasn't even a good Panenka, it was dying before it got to the line.
"It was pretty poor, a really odd decision to make for Man City's record goalscorer with the opportunity to put the Premier League title race to bed."
In late drama, City were also denied a penalty late on after Sterling was clumsily taken down in the area by Kurt Zouma.
Guardiola was fuming on the sidelines, with the Spaniard and his coaching stuff screaming for VAR to review the incident, only for the officials at Stockley Park to insist there was not enough contact.
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And, moments later, Alonso wrapped up a brilliant three points for Chelsea - as well a possible psychological edge ahead of the European Cup final - as the full-back's scuffed shot looped into the net in the final seconds of the game.
And it marks another top managerial scalp for Tuchel at Stamford Bridge. The German has now beaten Guardiola twice since taking charge of the Blues in January.
The London side will be hoping he can make it a third win against City when they meet again for European glory.