The defending champions were knocked out of the tournament after losing 0-2 to Chile at the Maracana Stadium here Wednesday, reports EFE.
"In football, the end of an era is usually signalled by a defeat. Maybe now is the time to start thinking about making changes," said Alonso.
The 32-year-old Real Madrid player said that they have to start thinking about making changes to bring back the hunger needed to fight and win. He added that the team was not mentally or physically ready for the tournament.
"We have not been able to maintain our hunger and the conviction we needed to make a serious attempt at defending the trophy. The happiness we experience in the past and all of the successes are over. In terms of football, we made a lot of mistakes. We have lost our ways and the ability to be ourselves on the pitch," he added.