Vettel repeated his Friday afternoon performance at first with a 1m24.551s lap that was six tenths of a second clear of his two rivals.
Alonso could feel there was more speed to come though, having abandoned a better lap due to yellow flags for Paul di Resta crashing at the Parabolica.
Ferrari had previously tried slipstreaming tactics, with Alonso and Felipe Massa taking turns to tow each other round on their first runs.
When they switched to softer tyres for the final laps, Vettel improved first to a 1m24.478s, then a 1m24.360s.
Alonso took second from Webber as both also improved on each of their last runs.
But the order remained the same, with Alonso in a Red Bull sandwich and the trio covered by 0.317s.
Lewis Hamilton ultimately got within 0.035s of Webber in his Mercedes.
His team-mate Nico Rosberg will go into qualifying somewhat compromised as a technical problem limited him to only five laps in the session.
McLaren had an encouraging morning as Sergio Perez took fifth and Jenson Button eighth after a long top-five spell.
Toro Rosso, which won at Monza with Vettel in 2008, also showed great promise as Red Bull-bound Daniel Ricciardo blasted in two rapid laps on his final run to earn sixth ahead of Massa.
Pastor Maldonado put Williams in the top 10 in ninth, as Lotus slumped to 10th and 14th with Kimi Raikkonen and Romain Grosjean.
Aside from di Resta's Parabolica accident, which he put down to a technical breakage on his Force India, there were also incidents at the Ascaris for Adrian Sutil and Jean-Eric Vergne. Both continued unscathed.
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- Motor Racing
- Mark Webber
- Felipe Massa
- Paul di Resta