Alonso and Benzema out of Deportivo date
Alonso started Friday's training session with the rest of the squad but later worked alone with assistant Rui Faria, while Benzema remained in the gym, Real said in a statement on their website.
Mourinho's squad list published later on Friday did not include either player and centre-back Sergio Ramos is also unavailable after his sending off in last weekend's 2-0 victory at home to Rayo Vallecano.
Real will hope to have Alonso and Benzema back for Tuesday's King's Cup semi-final second leg at Barcelona and they host their arch rivals in La Liga four days later.
Leaders Barca are 12 points clear of second-placed Atletico Madrid ahead of their league game at home to Sevilla on Saturday. Champions Real are four points further back in third.
It was left to 20-year-old reserve forward Alvaro Morata to speak to the media on Friday as Mourinho, who has a testy relationship with the Spanish media, continued his policy of not giving the customary coach's news conference the day before a La Liga match.