The Lobos had just wrapped up another winning season that was topped by their second straight Mountain West Conference title and their third NCAA tournament appearance in the past four seasons. And just days ago, Alford signed a new 10-year contract that could have been worth up to $2 million a year.
No one thought Alford was going anywhere.
Not even Alford.
Overnight, it all changed. Lobo Nation is now awash in disappointment.
New Mexico athletic director Paul Krebs is among those feeling the effects of the loss. He said it was clear when he talked to Alford early Saturday that the coach had made up his mind. He said he understood and respected the decision.
"This is a very emotional time," Krebs said to a room packed with reporters and television cameras.
For some of the players it has yet to sink in. Lobos center Alex Kirk said they needed to come together and clear their heads.
"It's tough," Kirk said. "It hit us all really hard. It hit coach hard and it's going to hit the whole state hard. I think it affects the whole conference."
After scraping the bottom, New Mexico became a force in the Mountain West Conference under Alford's leadership. He was the only coach in school history to win at least 22 games in each season to finish with a record of 155-52. He also qualified the Lobos for the postseason in all six of his seasons.
The Lobos' success in recent years is what makes Alford's departure such a bitter pill to swallow, fans said.
"Everybody is upset because he did a wonderful job here," said Scott Creagan, former president of the Lobo Club and the New Mexico Alumni Lettermen. "It's disappointing for the team, but the program is on the rise. Fans are back. Merchandise sales are up. Everything is going great."
Still, it hurts, said Sam Bregman, a prominent Albuquerque attorney and a Lobos booster.
"It's not surprising that other schools would be looking at him after what he's done here, but I thought he had made a commitment to the Lobos for the long term," Bregman said. "New Mexico stepped up and made a big-time commitment to him, and I thought he had made a big-time commitment to UNM."
Following a disappointing loss to Harvard in the first round of the NCAA tournament, Alford said he was focused on getting his players back to work in the classroom. On Wednesday, he had no idea that he would be getting a call from UCLA, what he described as "the pinnacle" of college basketball.
Had it been any other school, Alford said his answer would have been an emphatic no.
If it's any consolation to New Mexico fans, Alford said the fact that UCLA even looked at him says something about what the Lobo program has become.
"What we've done here, people have noticed at the highest level," the coach said.
Leland Gould, director of governmental affairs for Western Refining/Giant Gas Stations, which is one of the largest sponsors of New Mexico athletics, said UCLA's interest in Alford only makes the Lobo program look that much better.
"This is a fantastic opportunity for Steve," Gould said. "If he can do at UCLA what he did at New Mexico, he'll make history."