I can see what you're trying to say. I think a better way to say it would be "You seem to have a good attitude towards drinking [alcohol]" To have a good relationship with something could mean to be familiar with it, which in this case could be taken to mean "you seem to drink alcohol a lot".

You didn't hurt his feelings because we make allowance for foreign speakers. To my ears it is a curious turn of phrase and if you said it me I would wonder what you meant. I think the reason he said "What?" is that he didn't understand you. It could mean "you have a healthy attitude toward alcohol" or it could be a euphemistic way of saying "you love alcohol," which would be insulting.

I would be confused if someone asked about my "relationship with alcohol". My response would probably also be"What?" as I would need you to clarify what you are asking before I could answer correctly. To me a relationship would mean friend, acquaintance, family, etc.

yes, attitude would be the correct word, the other person was questioning if you meant they like to drink a lot possibly too much or whether you​ made an innocent learner mistake.

Phuong is right. I feel like the person you were speaking with had a hard time understanding your sentence, and the "What?" was them wanting to clarify what you meant rather than them taking offense.