But Leverkusen have plans of their own as they chase a treble of titles, having recently been crowned as the new Bundesliga champions.
On an extraordinary 50-match run this season, Leverkusen play Gian Piero Gasperini's side, who are fifth in Serie A, in Dublin on May 22nd.
"Atalanta are one of the best teams in Europe. The coach has a clear plan, they have a great mentality and a big squad," Alonso told reporters on Wednesday.
"If we do our best, we have a chance, but it will be tight. They are a top team."
With the league title in the bag, Leverkusen are fully focused on winning both their finals, which includes the German Cup clash against Kaiserslautern on May 25th.
But before that, they have a home game against Augsburg in the league on Saturday.
"The feeling is very good, we're looking forward to playing two finals. It's a great opportunity for us. We have time to prepare. There's still the Bundesliga game, but of course, we're already focussing on the two finals," the Spaniard said.
"With the Bundesliga decided, we can focus more on the Europa League than if there was still something at stake. But the Bundesliga is not over yet and we respect Augsburg."
Midfielder Florian Wirtz (21) is better after struggling with an injury.
"We'll take it slowly and look day by day. There's no risk of a more serious injury, it's all about the pain. We'll see how it looks again tomorrow," Alonso added.