The Spain international, 32, completed a drawn-out transfer from Anfield to Real Madrid in 2009.
"In 2009, I think I made the right decision," Alonso told France Football magazine. "After five years at Liverpool, I needed a change.
"Can you expect anything better than Real Madrid, the greatest and most demanding club?
"It was the right moment to seize the opportunity.
"Everyday life in Madrid is tougher than in any other team. What the club demands is win, win and win again, and play well too.
"Liverpool have five European trophies, but it is not the same. There the daily life is more relaxed and not so heavy. At Real, pressure and demand are constant.
"But I wanted to see if I could match such a challenge."
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