Alonso was linked with a return to La Liga in the summer, with the likes of Real Madrid and Barcelona mentioned as potential destinations, but he says he never thought about leaving Stamford Bridge.
Courtois has played second fiddle to Keylor Navas, until Saturday.
"I can just imagine Cesc Fabregas sitting watching all of this as he comes back from injury and thinking, "this is a style that could have been specifically designed for me and my skill set".
"Of course, this was not the first time I've played here".
Eusebio Di Francesco who has so far only overseen one win in three Serie A fixtures is facing a tricky run of fixtures after the global break, including a Champions League group opener against European champions Real Madrid as well as a Rome Derby against arch-rivals Lazio.
Real Madrid and Paris Saint-Germain were both reportedly interested in signing Alonso this summer, but he insisted that he is settled in London and a transfer is not in his future plans.
Courtois during his Chelsea days. Image PA
The goalkeeper expressed his belief that the level is "higher" than at Chelsea, before taking a dig at the size of Stamford Bridge.
Courtois has responded with another jibe, sneering: "I am now experiencing on a daily basis that [Sergio] Ramos is the best centre back in the world". "At practice, the level is high".
"[The Santiago Bernabeu] is twice as big [as Stamford Bridge], of course, it's a very different feeling". "When you look forward, you see this wall of people, whereas at Chelsea, sometimes you could still see the sky or the hotel behind the stands".
Can't imagine too many of his former teammates will be happy with his comments, either.
Explaining Ireland's Nations League chances in simplest possible way
The winners of Group B, C and D will win promotion, while those who finish bottom of Groups A, B and C will be relegated . They will take place from March to November 2019, with a draw to be held this coming December.