Alonso, who will retire at the end of the season, said: "You feel that attachment to the club that it's forever. It's not just about a football club, it's about a family.
"Wherever I go I see Liverpool flags and I still feel that the supporters appreciate me. It makes me still feel part of the Liverpool family."
Alonso, 35, made 143 Premier League appearances during a five-year spell at Anfield after signing from Spanish side Real Sociedad in 2004 to work under Rafael Benitez.
He scored his first Anfield goal in a 2-1 PL defeat of Arsenal and found the net in an unforgettable comeback victory over AC Milan to win the UEFA Champions League in his debut season, before winning the FA Cup in 2006.
Once described as the "pass master" by former team-mate Steven Gerrard, Alonso assisted 17 Premier League goals and scored 14.