The two European giants were paired together in Monday's draw, with the first leg to take place at the Bernabeu on February 14, before PSG host Madrid on March 6.
The Spanish side have won the Champions League in each of the last two seasons, but PSG are regarded by many as the favourites to win the competition this term.
Alonso, who won two Champions League titles as a player, has said that the Spanish giants will be looking forward to the "wonderful challenge" of taking on the Ligue 1 leaders.
"Madrid like big challenges and they got just that. It will be a wonderful challenge against Paris," Alonso told UEFA.com.
"It is one of those games that you really like, and that those who go to the Bernabeu like to see. It is tough to say who might be favourites, even though that means nothing at the end of the day. I am backing Madrid."
Recently-retired Alonso made 236 appearances for Real between 2009 and 2014.