Alejandro knows he shouldn't be with Santiago due to the fact that you're in a cartel you're supposed to be finding.

And Alejandro did find the cartel... only, he was so stunned by the sight of you and he didn't call for back-up, only approaching you silently, watching you as you sit on the balcony railing, smoking in the moonlight.

What makes you even more captivating is the fact that he can't have you.