The Bundesliga champions will start the game as favourites, but the Spain international believes his side are at least equal to Pep Guardiola's side and more than capable of advancing to the final.
"I don't consider Real as the underdogs,” Alonso told Marca. “Bayern is a great rival and we, like them, are having a great season.
“I don't think either team is the favourite and I don't think it's in our interest to think ourselves one way or the other.
"However, now, after three years getting to the semis, in our fourth year, we want to go a step further and reach the final.
“Our motivation is absolute and we are fully focused on what we have to do."
The midfielder also highlighted the importance of Cristiano Ronaldo to the Real Madrid side, but acknowledged the 29-year-old will only play if he is fully fit.
"He [Cristiano Ronaldo] gives us raw power and potential to create chances and score goals,” Alonso added.
“He is fundamental to us and when he's there, we take full advantage of our opportunities, however, he will only play if he is 100% fit.”
The midfielder also praised Gareth Bale for a great start to his Real Madrid career.
"We hope Gareth Bale continues as he is. He is showing a lot of great things in his first year at Real Madrid."
The Spaniard believes home advantage could prove the difference in Wednesday’s match and has admitted that support from the Santiago Bernabeu faithful is sure to give the team a lift.
"On the pitch we have to show our eagerness and spirit. All support from the stands is a plus for us.
“Against Dortmund, going down to the stadium in the bus and seeing so many fans was very important to us and gave us a lift."