The Spain international has confessed that Jose Mourinho's men are still hurting after their heartbreaking 4-3 aggregate defeat by Borussia Dortmund in the Champions League
The Spain international freely admits that los Blancos have not yet come to terms with the agonising nature of their European exit at the hands of Jurgen Klopp's men, after they bowed out at the semi-final stage for the third season in a row after losing 4-3 on aggregate.
Consequently, Alonso is attaching great importance to the Copa del Rey, as he feels victory is the least the club's fans deserve after disappointment in Europe and the loss of their Liga crown to Barcelona.
"We were so close against Dortmund, which is why we were left with this feeling of sadness for making it so far but not being able to reach our goal in the end, which was to play in the final," the midfielder told his club's official website.
"We have the chance to redeem ourselves with this final and I’m sure that the fans are going to enjoy it."
Alonso is supremely confident that Madrid can put all of the current controversy surrounding the club to one side and end their campaign on a high, but he is taking nothing for granted against a Rojiblancos side for whom he has the utmost respect.
"If we play a good match and are on form we’re going to have chances to win the match," the former Liverpool man argued.
"But Atletico has a very competitive team that will face the match with the same determination as we do.
"It’s a fantastic opportunity for them and we can’t let them feel comfortable. It should be a very exciting match.
"It’s a derby against Atletico, in the same city and in our stadium, but it will be different from the games that we usually play at home.
"But all the ingredients are there to make it a great night and we hope that we end it feeling good, happy and with the title in our hands."
Madrid's meeting with Atletico in the Spanish capital is scheduled to kick off at 21:30CET.