The former Bolton defender joined the Black Cats on-loan from Italian side Fiorentina in January.
Alonso joined Fiorentina last summer, but failed to make an impact in Florence which led to his move to the Stadium of Light - and he has made a telling impact under Gus Poyet.
Sunderland are being linked with a permanent bid, but the 23-year-old admits at the moment he is 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."