Los Blancos boss Carlo Ancelotti has adopted a primarily counter-attacking system this season and Alonso has warned Bayern what to expect at the Bernabeu.
"We need to put in a complete game. We need to know when to hit them on the attack and the moments to punish them," he told reporters at a press conference.
"Ball possession is just a statistic which you have to interpret in relation to other factors. What we need to do is read the game well."
The second leg will take place in Germany next week.