Alonso has been linked with a move to Chelsea if, as has been widely speculated, Madrid coach Jose Mourinho quits the Spanish giants and returns to Stamford Bridge at the end of the season.
However, Spain international Alonso seems determined to prolong his four-year stay at Madrid for at least another campaign.
"Of course I'm going to be here next season," Alonso was quoted as saying by Marca following Madrid's eventful win over Malaga on Wednesday night.
Madrid had to beat Malaga or concede their Primera Division title to Barcelona, and Mourinho's men ensured their arch rivals would have to wait a little while longer to be crowned Spanish champions for a 22nd time as they earned a 6-2 victory at the Bernabeu.
The league may be beyond them, but Madrid still have plenty to play for this season with a Copa del Rey final against Atletico to look forward to next week and Alonso believes it is vital they do not let their standards slip.
"It's important to maintain good feelings, with an important match coming up next week," the former Liverpool man said on his club's website.
"We prepared for this match (against Malaga) with the same seriousness as always and with the desire to do well.
"We're mentally prepared for the cup final, it will be a tough match. It's a clear objective, one we can achieve this year and nothing else can distract us. We all have to pull in the same direction."