Is possible in splunk to configure no data alert? I want to receive an email alert when, for any reason, a data source don't sends events to my splunk server for a specified time.
Yes, provided you can write a search that is specific enough to your data source. See:
http://answers.splunk.com/questions/8764/monitoring-file/8765#8765
The following search looks at all hosts in a given index and returns the ones that have not sent any data in the past 10 minutes (1200 seconds):
| metadata type=hosts index=blah | convert ctime(recentTime) as Recent_Time | where lastTime < (now() - 1200)
You could customize the 1200 to the interval of your choice, then schedule this search and set an alert condition, for example Number of results > 1 (which would fire when there are any hosts that haven't checked in in 1200 seconds).