The Spain international has insisted that each game is crucial for the Primera Division leaders, while admitting that Malaga made life hard for Madrid on Saturday
The Santiago Bernabeu side currently hold a three-point lead over second-placed Atletico, while Barcelona are seven points off the pace ahead of their game against Osasuna, and the midfielder feels each game is equally important for los Blancos at the moment.
"The Clasico won't be decisive but it could be very important," Alonso told the official Madrid website. "Every match is fundamental for us.
"We have a points advantage and don't want it to slip away, now we have to approach each game as if it were the last."
Alonso then reflected on Madrid's 1-0 away win over Malaga on Saturday and admitted that Bernd Schuster's men made life hard for the leaders.
"We found it hard against Malaga because they squeezed us in the second half and we struggled to move up the pitch with the ball. They played well and pressured us.
"They worked well together while we lacked passing accuracy both in terms of link up play and the final ball. Because of that they were able to get hold of possession and push us back."