The reigning Spanish champions are set to visit Old Trafford on Tuesday for the second leg of an eagerly-anticipated last-16 encounter.
The tie remains intriguingly poised, with a 1-1 draw having been played out at Santiago Bernbeu.
Former Liverpool midfielder Alonso expects sparks to fly in Manchester, with two European giants set to give their all in the quest to edge a step closer to the 2013 final at Wembley.
He told Champions Matchday magazine: "From the fans' point of view and because of the history of both clubs, this meeting is pure football.
"For Cristiano (Ronaldo), who wore the United shirt for many years, it is something even more special. It is for me too.
"When I played for Liverpool, the games against United were very intense and important due to the rivalry that existed between the clubs.
"We know it is now a few years since Real Madrid won its last European title, but it is not easy to win this competition because we are facing the best teams in Europe.
"It doesn't have to become an obsession because this doesn't help, but, yes, it is an important objective."