By doing so, Alonso would set himself up to be sold next summer, and that is exactly what Madrid should do.
Alonso is still a very respected player in world football, and he still exhibits incredible passing skills and playmaking ability. But he's also 30 years old, and his value will inevitably drop down the line.
While Alonso's departure from Liverpool in August 2009 sent shockwaves throughout Anfield, it likely wouldn't be as devastating for Madrid, especially because the club has plenty of talent beyond Alonso, and won La Liga last season. Alonso had a respectable nine assists last season in La Liga play, but still ranked fourth in that category behind Mesut Ozil, Angel Di Maria and Cristiano Ronaldo.
Every now and then, a club has to make pivotal decisions in order to stay ahead of the competition. With Alonso potentially looking elsewhere, the time has come for Madrid to start thinking about parting ways with the veteran. Putting Alonso up for auction, so to speak, would maximize reward among the several Premier League clubs that are certain to take a look at him.
These clubs could include his former team, Liverpool, as well as Manchester City, Manchester United, Chelsea and Arsenal. There's no question that there is still room for the 30-year-old in the Premier League given his history and reputation.
Madrid must think about letting Alonso go much like Arsenal just did with Robin van Persie. There is no use keeping a player against his will, especially when you can get decent return for him.
It's going to be hard for Madrid fans to see Alonso leave next summer, but the sun is setting on his time at Bernabeu.