Milan made a poor start to the season, failing to earn a win in their opening three games, and while they also lost their Champions League game to Liverpool they have turned things around on the domestic front with three successive victories.
"It's one of those games when you have to play smart. With the ball, without the ball, you have to be patient, you have to be ready, you have to be focused," Alonso told reporters before Tuesday's game with Milan.
"An Italian team is always dangerous. They know how to have patience. They are ready to defend low or to play with possession.
"Milan don't have to be dominant to be dangerous. Sometimes they have good possession, sometimes they have good counter-attacks."
Milan are the most successful Italian side in the competition, with seven titles to their name, and the last time they lifted the trophy in 2007, Alonso was on the losing Liverpool team.
Two years earlier, Alonso was part of the Liverpool side which made a dramatic comeback from 3-0 down to beat Milan on penalties, with the Spaniard scoring the third goal to level the tie.
"Fundamental for my career. After 20 years we still talk about that night," Alonso said.
"Then two years later we lost to Milan but that victory in 2005 was incredible. It was 20 years ago, we have to think about tomorrow. Milan is still the history of the Champions League.
"I've always liked AC Milan, Arrigo Sacchi, Fabio Capello, and great players, and to play against them is a great honour for us."
Bundesliga champions Leverkusen, who did not have Champions League football last season, made a successful start to the league phase of the competition with a 4-0 win at Feyenoord, and Alonso is thrilled about hosting Milan in their first home game.
"We're excited that the Champions League is back in our stadium," the manager said.
"That we're back in this competition and that we're playing our first home game against a huge club in the history of football."
