The 32-year-old won the European competition at Real Madrid last season but completed a move to Bundesliga champions Bayern this summer.
And speaking ahead of his side's clash with Roma tomorrow, the only English side Alonso named when he listed five potential winners of the competition were Chelsea.
"Real Madrid, Barcelona, Chelsea, ourselves - Dortmund are always a tricky club to play against," the Spaniard told reporters. "So I respect lots of clubs; Paris Saint Germain as well. It's quite open."
Liverpool have made a mediocre start to their European campaign, barely scraping past Ludogorets before losing to FC Basel in Switzerland.
Arsenal, too, have lost once - against Borussia Dortmund - and won once - against Galatasaray. Manchester City, meanwhile, lost to Bayern and drew at home with Roma.
Chelsea, by contrast, have drawn once and won once, although their group is considerably easier on paper.