The two European giants will meet on Tuesday hoping to seek a place in the final of the Champions League. Both have endured a long wait for the trophy as Bayern's last final victory came in 2001 and it was followed by Real's win over Bayer Leverkusen in the final in the following year.
In La Liga, Real have allowed their ten-point lead over rivals Barcelona whittle down to just four points with just five games remaining. The two heated rivals will meet each other in El Clasico next Saturday and critics have commented that the Madrid-based side are not doing enough in order to win the La Liga title for the first time since 2008.
But Alonso dismissed such concerns and he pointed out that Real have matched expectations so far and are on course to complete a European double. He is also aware of the dangerous threat posed by the Bavarian giants but he is confident that Real will be able to win the two-legged tie.
"We're where we want to be at this stage, that is, fighting for a spot in the final and for the league title," he told bwin.com.
"Every season at Real Madrid is a challenge. We have different challenges this campaign both in La Liga and the UCL.
"Both we and Bayern have considerable potential in attack. We know we must do the best we can to stop them and capitalise on our skills in attack.
"We are two very solid sides that play dynamic and fast football with fast transitions. Bayern's football will not surprise us.
"We expect a good result in the first leg and we obviously don't want to lose. We want to score one goal on the road to have an advantage in the return leg. It would be good to win or draw with goals, but our objective is to win."
The former Liverpool midfielder missed Real's win over Sporting Gijon as he had been suspended after collecting five yellow cards in the league. In that match, Sporting grabbed the first goal and Real were looking rusty as they were unable to make the decisive passes in the final third.
Alonso knows that it will be very important for him to assert his presence as he believes that the team that wins control of the midfield battle will emerge victorious at the Allianz Arena.
"The battle in midfield in every match is essential. The team that keeps possession and reaches the box has the upper hand.
"We know Bayern's players well. Sami Khedira and I have faced them several times and they are truly great. They are having a fantastic season."
He also believes that Real have what it takes to win the tournament. They will face either Chelsea or Barcelona in the final if they manage to beat Bayern.
"History has seen both Real Madrid and Bayern winning the Champions League after eliminating the other in the semi-finals.
"That's where we want to be and the tie will be thrilling, but who knows how the winner will fare in the final?
"The Champions League is always the most appealing of tournaments and winning a tenth for the club would be important, so we are focused on being a part of that."
"I believe we are concentrating 100% on winning the tie. Every game is crucial at this stage of the season and every small detail is important."
The midfielder also revealed that he would draw inspiration for Real's last final which saw club legend Zinedine Zidane put in a sterling performance and he knows that his side will be more than capable to handle the pressure of the occasion.
"I remember the last final [when] Real Madrid won very well. Zidane's goal was elegant, aesthetic and complex, and even more important due to being scored in a final. That's why all the fans remember it. It defines his style perfectly," he said.
"I think pressure comes from within and not being able to cope with the responsibility that comes with playing these games would mean you're not doing something right. You need a special dose of it to compete in every kind of match, not just important ones."
"[And] I strongly wish to play another Champions League final."