You'd better hope the concentration of oxygen is higher in the aveoli or your lungs wouldn't work!
At the lung, the alveoli are brought into close contact with the blood. Although haemoglobin complicates things a little, oxygen will tend to move down its concentration gradient. That is, if there is a higher concentration in the alveoli than in the blood, there will be a net movement of oxygen INTO the blood. On the other hand, if there is a higher concentration in the blood, compared with the alveoli, oxygen will tend to move OUT of the blood stream.
So, since you know that one function of your lungs is to facilitate oxygenation of the blood, you can actually work out the answer.
Consider another few instructive thought experiments. What would happen if you walked into a room without oxygen? Why, then the oxygen concentration in your blood would soon become higher than that that you breathe into your alveoli. That would mean that there would be a net movement of oxygen from your blood out into your lungs - and you would die!
On the other hand, instead of depriving you of oxygen, what if I somehow increased the amount of oxygen in your blood to a concentration higher than the atmosphere's (and hence your alveoli's)? Well, then there would also be a net outward flow of oxygen from your blood to your lungs. However, as long as I kept the concentration in your blood high enough, you could happily go on with the business of living, since your tissues (which are supplied by the blood) would be getting well enough oxygen.
As for the second part of your question (why the oxygen concentration is usually lower in the blood than the lungs), consider that the blood passing through the lungs has already been past the rest of your body first, and much of its oxygen has been taken up by the body's cells on this journey.
Hope that helps!