Alonso was appointed earlier this month, signing a four-year contract and formally taking the manager's role at Chelsea after previous head coaches including Enzo Maresca and Liam Rosenior. Reports indicate he will have a direct influence over transfer decisions as the club reshapes its squad.
Chelsea finished 10th in the league and failed to qualify for European competition, prompting an overhaul of the squad.
The club are expected to target a centre-back, a midfielder and an additional attacker, while co-owner Behdad Eghbali has suggested the recruitment model will shift towards signing players already proven in the Premier League.
Desailly has specifically urged Alonso to pursue Nunez, who is expected to leave Al-Hilal this off-season after being removed from their Saudi Pro League squad in January to accommodate Karim Benzema.
The 26-year-old forward finished the season with nine goals and five assists in 24 appearances.
"I also love Darwin Nunez," Desailly told Football Transfers.
"Yeah, he's not that experienced yet, but I feel that at Chelsea he can perform. He can bring something special into the system.
"If he plays by himself up front, he can really be a great point of reference in a Xabi Alonso system."