Alonso’s goal 17 minutes from time secured a 1-0 win over Newcastle, the Blues’ fifth consecutive victory in all competitions.
The Spaniard hailed the improvement under new boss Lampard but insists there is still more to come.
“We have many options in the team and this is good. The team is getting better, we are improving game by game and we need to continue in this way,” Alonso told the club website.
“We are moving the ball quickly, our press is good and we are doing a good job as a team. We have clear ideas and we have to continue in this way.
“It was very important to win after the international break. We played with a lot of patience and at the end we got the goal, we kept grafting and got a good reward.
“It’s a new season with new staff and there’s room for improvement but since the beginning we have improved a lot. We need to keep focused on each game and work hard in training.”
Defeat was harsh on Newcastle, who dropped back into the bottom three, and manager Steve Bruce saw plenty of reasons for optimism.
The Magpies now face a run of more favourable fixtures, with a visit from Wolves next up followed by a trip to West Ham and matches against Bournemouth and Aston Villa.
Bruce said: “We’ve had a really difficult start in terms of who we’ve played – we’ve played Tottenham, Liverpool, Manchester United, Arsenal and now Chelsea, and we’ve been away to Leicester. We’ve had a really tough start.
“The way the players went about their jobs, and their effort and commitment, I couldn’t have faulted.
“We looked a threat on the break, and if we can be a bit more careful with the final pass, then of course the big thing is we have to find some goals.
“But, certainly in the first half in particular, we looked a threat.”