Xabi was sacked on Monday and replaced by Castilla coach Alvaro Arbeloa to the end of this season.
Mijatovic said on El Larguero: "What do I think has gone wrong in Xabi Alonso's six months at Real Madrid?
"Well, the feeling I get from watching quite a few games this year, not all of them, is that I think the players haven't been able to understand his methodology and everything he demanded of them. I suppose it's something like that.
"In many matches where Xabi made substitutions, the players reacted in a rather strange way... right? Like, 'Well, what's this?'
"Another day, for example, I noticed that in the Super Cup final he made those changes to improve the team. And the players themselves, at a certain point, had these faces that said, 'What do we do now?'"
Mijatovic, however, insists the dressing room isn't to blame for Xabi's downfall.
He also stated: "I think the players didn't quite understand Xabi Alonso, but I don't want to say that the players are to blame by any means, but I think that from the beginning the squad hasn't connected very well with the coach, at least not with the coach's demands."