The 38-year-old has been a reported target for the Championship club since the former Chelsea man replaced Sean Dyche at Vicarage Road earlier in July, following the takeover by the Pozzo family.
Zola admitted a player of Inzaghi’s stature carries a certain draw, but was hesitant to continue any talk on the subject, before confirming that the forward did not visit the club's training centre.
Speaking to Sky Sports News, Zola said: "Obviously he [Inzaghi] is a player with a big name. Normally I don't talk about players that are not my player.
"I have players to look after here so I'll focus on them.
"Inzaghi is an intriguing name but as the coach I have to focus on my resources.
"I can assure you he wasn't there," the Italian said when pushed for an answer.