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 the Blancos 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-discussed Decima, which added to their earlier Copa del Rey victory.
Ancelotti and Co. will be hoping they can better their third place finish in La Liga in 2014-15, however, after their title charge wilted in the final few weeks.