Zverev secured his first title at Flushing Meadows with a four-set victory over Ben Shelton but returned to the baseline as if to prepare for another game after his American opponent hit long on championship point.
"I thought it was 4-1," Zverev said after Alcaraz quizzed him about the moment as the Team Europe teammates prepared for the Laver Cup on Tuesday.
"If it were 5-2, I'd have been so nervous, for sure.
"There was completely nothing in my head. This is what helps, you know? When you're stupid, it helps," Zverev added with a laugh.
Alcaraz, who exited in the quarter-finals, said he could not understand what was going on.
"I was watching at home and I was like, 'what the heck?," said the Spaniard.
Team Europe, captained by Yannick Noah, are attempting to reclaim the Laver Cup after last year's defeat by Team World in San Francisco.
The three-day event begins on Friday in London and will also feature Casper Ruud, Flavio Cobolli, Jakub Mensik and Rafael Jodar for the Europeans.
Andre Agassi's Team World features Taylor Fritz, Learner Tien, Brandon Nakashima, Alex de Minaur, Alexander Bublik and Francisco Cerundolo.