Bayer Leverkusen head into Thursday's home first leg against West Ham in the Europa League quarter-finals unbeaten in 41 matches this season, with 36 wins and five draws.
Despite having his side on course for a first Bundesliga title alongside qualifying for the German Cup final, Alonso said his team's good work would come to nought in Europe should they fail to beat West Ham.
"The Europa League is just two legs. It's make or break. We want to give ourselves a good starting point for the second leg in London next week. It won't be easy because West Ham have a fantastic team, but these are exactly the games we look forward to. We want to test ourselves against top teams," he told reporters on Wednesday.