Madrid have dominated the competition in recent years, lifting the famous trophy in back-to-back seasons and three times in the last four years.
Alonso has seen the threat Liverpool possess up close this season, though, and expects them to at least give the reigning champions a run for their money in Kiev on Saturday evening.
"I will support Spain like any other fan," he told Marca. "Liverpool are very strong, they have a different type of player to Real Madrid and it will be a good final but Madrid whether they are doing well or not, it is their competition. As a result of their history they are favourites."
Liverpool have lost their last two meetings with Madrid, following a previous run of three successive wins.