The iconic former France international is currently working as an assistant to Carlo Ancelotti at the Santiago Bernabeu side following a glittering playing career that saw him win the World Cup, European Championship, Champions League and domestic titles in Italy and Spain.
Zidane has been heavily linked with a return to his homeland in recent weeks, with Monaco and former club Bordeaux both thought to be interested in acquiring his services.
However, the 41-year-old insists that he has not had contact with any club about the possibility of taking over as coach.
"As always, everyone is talking a lot," Zidane told L'Equipe. "And as always, I am compelled to respond.
"I have not had contact, even remotely, with Monaco, as I've heard. In short, I have not had contact with anyone.
"I'm under contract to Real Madrid, I'm with Real and my priority is Real, the league and the Champions League final. Full stop."