The west London outfit have not won the domestic crown since Antonio Conte lead the charge in 2015/16.
Despite uncertainty around the club's future, due to the ownership sale by Roman Abramovich, Alonso thinks his team can challenge for the top.
He has told Sky Sports: "I would say so.
"We saw a few years back when we won the last one and we have been competing against these teams.
"I think we are capable of winning anything against any team and we just need to improve a little bit in this consistency during the whole season. We'll try to be a little bit closer for next season."