I'm going to take a wild guess and say that about 99% of nudibranches do not eat algae. It probably eats some species of sponge or coral... but unless you can get a positive ID or catch it munching on something you may never know. Or you could spend an hour or more browsing through this site until you find a picture that matches.
http://www.seaslugforum.net/ Theres also a small chance that if you take a picture and post it here someone might be able to ID it for you.