Helguera also admits Xabi's successor, Alvaro Arbeloa, doesn't fill him with confidence.
In a chat with his former teammate Iker Casillas on the podcast, Bajo Palos, Helguera began: "I wasn't really liking how Xabi's team was playing, but tactically, especially defensively, they were a difficult team to beat.
"I think they should have shown us how they were doing by February or March. I think they would have won the Albacete match and the Lisbon match too. I think they were too hasty in sacking Xabi Alonso.
Besides, they lost the Super Cup in a match where they didn't play badly, but we'd had our suspicions for three months."
On Arbeloa, Helguera says his predecessor with Castilla deserved his chance: "Raúl spent many years with the reserve team and was never promoted. Suddenly, they bring in a guy who's never coached in La Liga, Arbeloa.
"And that same day, he'd lost 4-1 to Castilla in the Primera RFEF. It's all a series of absurdities. Nothing makes sense. In my opinion, sacking Xabi Alonso made no sense."