They slipped to fourth spot in La Liga after being held to a goalless draw at lowly Levante last weekend, and Alonso accepts they are not the finished article yet.
The former Liverpool man told AS: "We still have room for improvement. The team is ambitious and wants to improve.
"The players are self-critical and the trainer is there to improve us.
"When we grasp the coach's ideas better the team will be more competitive.
"It is important to play well but it is more (important) to go little by little winning games."