On 28 April 2015, Alonso was one of four Bayern players, all FIFA World Cup winners, to miss in a 2–0 penalty shootout defeat to Borussia Dortmund in the DFB-Pokal semi-final. He was also the only player to miss as the club lost the shootout at the end of the 2015 DFL-Supercup away to VfL Wolfsburg, his attempt being saved by goalkeeper Koen Casteels.