The 20-year-old, who netted in the 1-0 friendly win over PSG, has praised the former Liverpool man and hopes that he will sign a new deal at the Santiago Bernabeu this season
Alonso's current contract with the Blancos is due to expire at the end of the season and talks over a new deal have so far not resulted in a renewal.
However, Jese has stressed that the Spain international plays a key role in the development of the club's youngsters and feels Madrid should do their utmost to hold on to the 32-year-old.
"Xabi is a role model for me and for all the young players at the club. If he stays, we’ll be delighted," Jese was quoted as saying by AS.
"We all know the great player he is and we all want him to stay. He knows only too well that we all want him to stay and that we’re behind him, but it’s his decision."
Alonso has been linked with a number of Premier League sides in recent weeks, while Juventus are also believed to be keeping tabs on the midfielder.