Spain international Isco has been heavily linked with a move to Manchester City, although the departure of Rafael Benitez has prompted talk that the attacking midfielder will opt to remain at the Santiago Bernabeu.
Speculation has also mounted over the future of Gareth Bale, who has been touted for a return to the Premier League despite Zidane's assurances that he is firmly in his plans.
Madrid have also been linked with a bid for Wolfsburg defender Ricardo Rodriguez, with the Switzerland international forced to deny any approach from the club earlier this week.
But Zidane says he has no plans to allow anyone to leave this month and is not looking to bolster his squad with new additions.
"I don't want anyone to leave or to come in. I have a great squad," he said on Friday.
"With players like James [Rodriguez] and Isco, you have to give them affection. That's what I'm going to do, but the most important thing is the group. It's always the group that wins.
"The team is very focused, they want to do things well.
"We had intensity during training. The players have been great. I hope to have the same intensity for tomorrow's game."
Zidane also dismissed criticism from former France boss Raymond Domenech this week, who claimed the World Cup-winner was "not a nice guy".
"He has his opinion. He knows me very well, and I know him. I'm only worried about the game with Deportivo La Coruna," Zidane said.