Zidane was linked with a return to his native France throughout the final stages of the 2013-14 season, with Ligue 1 teams Monaco and Bordeaux reportedly interested in offering the 41-year-old their hotseats.
Former team Bordeaux, where Zidane spent four years before joining Juventus, were close to prising the Frenchman away from Madrid after the French side's president Jean-Louis Triaud admitted negotiations had taken place.
But speaking to La Sexta after a 'legends' match between Real and Inter, Zidane outlined his intention to continue working in Spain, having just completed his first season as Carlo Ancelotti's right-hand man.
"Right now I'm here and I am going to continue at Real Madrid. We'll see what happens", the 1998 World Cup-winner told reporters.
"I'm enjoying my first experiences of coaching - it's not quite the same as playing, but I'm enjoying it."
Zidane and Real Madrid ended 2013-14 on a high with the Champions League win giving them their much-anticipated Decima, which added to their earlier Copa del Rey victory.
Ancelotti and his side will be hoping they can better their third place La Liga finish in the coming campaign. Madrid's title charge wilted in the final few weeks of last season as they finished behind rivals Barcelona and champions Atletico Madrid.