The former Bolton defender joined the Black Cats for the remainder of the season from Serie A side Fiorentina in January.
Alonso only joined Fiorentina last summer, but failed to make an impact in Florence, which led to his move to the Stadium of Light where he has made a telling impact under Gus Poyet.
Sunderland are being linked with a permanent bid, but the 23-year-old admits that at the moment he will be heading back to Tuscany at the end of the season.
Alonso told the Sunderland Echo: "I'm very happy here at the moment, with the manager, the rest of the team, the staff, everything.
"I'm playing, that's the main thing, but I have two more years in Italy, so I will have to go back at the end of the season.
"I will have to do that.
"What happens in the summer, I don't know. I'm not thinking about that yet.
"I'm just enjoying my time here. I'm happy with my performances.
"Obviously, I want to keep improving and keep playing better and better because I think I'm capable of that."