The 32-year-old, who spent five years with the Reds, made the move to the Spanish capital for a fee of £30m in 2009.
Ahead of Madrid's Champions League final clash with city rivals Atletico, Alonso told Sky Sports News that it was a "privilege" to play at Anfield in the past.
"Liverpool was a very important part in my football career," he said. "Especially when we played at Anfield, we achieved great things and we had great nights at Anfield.
"There is a passion and atmosphere that comes when you play in England in the Premier League. It's special and I had the privilege to play for five years for Liverpool, and it's a really special club.
"Anfield is a beautiful stadium and it has a certain charm and style that is very difficult to find in other stadiums. So I miss it a little bit; I really enjoyed the time that I spent in England, it was very important for my football career."
Alonso was unable to take part in tonight's Champions League final due to suspension.