Jose Mourinho takes Los Blancos to the Allianz Arena looking for a place in May's final at the same stadium.
"We know Bayern rather well and I think they have considerable potential in attack thanks to their quality and talented players that can break our defence line. We will try to keep them in check as best as we can," Alonso told bwin.com.
"We expect a good result in the first leg and we obviously don't want to lose. We want to score one goal on the road to have an advantage in the return leg. It would be good to win or get a score draw, but our objective is to win."