Base Set Alakazam: His pokemon power states that: "As often as you like
during your turn, you may move 1 damage counter from one of your pokemon to an
other as long as you don't knock out that pokemon."

is it true that you can transfer damage to your opponent?, it would make
sense since if you knock out your own pokemon it doesn't matter.

No.  Alakazam only transfers damage amongst your own Pokemon.  If you could put it on your opponent, every single person would run an Alakazam deck, including me.

Scott