Alert Message through email or phone(Message)

Successful log-ins trigger the action wp_login, failures wp_login_failed. Phone calls are not built-in, you need a separate plugin for that.

Example with email:

add_action( 'wp_login_failed', 'wpse_79917_login_failed' );
add_action( 'wp_login',        'wpse_79917_login_success', 10, 2 );

function wpse_79917_login_failed( $username )
{
    wp_mail( 
        get_option( 'admin_email'),
        'Login failed',
        'custom message'
    );
}
function wpse_79917_login_success( $user_login, $user )
{
    wp_mail( 
        get_option( 'admin_email'),
        'Login successful',
        'custom message'
    );
}