Jennifer Lopez Stands by Alex Rodriguez, Flies with Him Too

J Lo and A-Rod didn't look the least bit shaken by his looming legal battle with an ex -- as they boarded a private jet together.

Jennifer couldn't look more chill -- rocking sweats and Tims -- with her wingman, Alex. The couple's flying from Miami to Las Vegas for her show at Planet Hollywood Wednesday night.

TMZ broke the story ... one of Alex's ex-lovers is threatening to go public with private messages he allegedly sent her if he doesn't cough up $600k. We're told Alex is weighing his legal options, including reporting her to cops for extortion.