The Blancos midfielder insists that there has been no gagging order put in place at the Santiago Bernabeu and that he and his team-mates are free to speak their minds
Pepe has not featured in los Blancos' last two games, against Malaga and Espanyol, after accusing his boss of making "unsuitable" comments about club captain Iker Casillas, who has failed to reclaim his place in the starting line-up since returning from injury.
It has been rumoured that Madrid's players have been told to avoid discussing the issue with the media, but Alonso insists that there is no gagging order in place.
"Everyone can say what they want to and there is nothing to be scared about," the midfielder is quoted as saying by the club's official website after Saturday night's 1-1 draw with Espanyol.
"Nobody tells us what we have to say."
Madrid's failure to triumph at the Cornella handed Barcelona the Liga title and Alonso was magnanimous in defeat, admitting that the Blaugrana were worthy champions.
"There is nothing more to be done apart from congratulate them," the former Liverpool man acknowledged. "Our poor start [to the season] has meant that we could not fight to the end."
However, Alonso is now hoping that last year's Spanish champions can finish the season on a high by defeating city rivals Atletico Madrid in Friday's Copa del Rey final.
"The aim now is the cup and we have fight for the title that we have left to play for," the Spain international declared. "There are six days to prepare and that's what we are thinking about.
"We are very motivated, eager to play a great match and lift the trophy in our stadium."
The Copa decider will kick off at the Santiago Bernabeu at 21:30CET.