Alonso brought an end to his playing days last summer, with the Spaniard having spent the first five years of his career at Sociedad where he made 124 appearances in all competitions.
The former central midfielder has stressed that he is still to make a decision regarding his future plans, but has admitted that he is attracted by another spell at the White and Blues.
The 37-year-old told Cadena Ser: "Perhaps one day I will become a coach and my preferred destination would be a return to Real Sociedad.
"I want to give the same efforts to the club after my playing career as I did during it, but I have to reiterate I have not yet decided to go down that path yet."
Alonso also spent time at Liverpool, Real Madrid and Bayern Munich during his playing career.