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.
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