The two-time winner of the competition, Alonso, went down after a collision with teammate Javi Martinez and had to be carried off the pitch by a cart, according to the Daily Mail.
The 35-year-old has been a key part of Carlo Ancelotti’s setup at the Allianz Arena so his potential absence will be a significant blow to the Bavarian giants.
The Bundesliga champions are already without the injured Frank Ribery and Jerome Boateng as the selections problems continue to mount for Ancelotti.
A brace from Alexis Sanchez against Hull City at the weekend means Arsenal at least go to the Allianz Arena on the back of a victory following back-to-back defeats that has all but ended their Premier League title challenge for this season.
Meanwhile, Munich have been in extremely impressive form since returning from their winter break, winning four of their last five games across all competitions and did put five past the Gunners in the group phase last season.
Wenger’s men travel to Germany tomorrow ahead of Wednesday night’s clash at the Allianz Arena, with the reverse fixture to be played at the Emirates on March 7.