The former Porto, Chelsea and Inter Milan boss has come under pressure this season, with the La Liga club 16 points behind leaders Barcelona in the table.
Alonso has said that the Real players are still behind the manager.
"You see that Jose has something different," he told BBC Sport.
"The way that he communicates with the players, it's different. The way he empathises with the players as well is different.
"That is why you want to be behind him, why you want to play and fight for him on the pitch. The players, we do believe in him."
Madrid host Sevilla in La Liga on Saturday evening.