Although he proved a big hit in the French capital before a broken metatarsal at the end of February curtailed his season, the 26-year-old has been persistently linked with another blockbuster switch to Madrid.
A report by Catalan newspaper Mundo Deportivo on Thursday claimed Neymar had told his PSG team-mates he intends to leave at the end of the season, but Zidane was keen not to stoke further speculation at a pre-match news conference for Saturday's LaLiga game against Celta Vigo.
"At the moment, all I can tell you is I'm worried about what's coming up," said the French coach, who will look to win a third consecutive Champions League title against Liverpool at the end of this month.
"After the final we'll talk with the club about next year and what changes will be made. But I can't talk about anything like that [Neymar] at the moment."
However, recalling a link-up with fellow France star Youri Djorkaeff during his own playing career, Zidane rejected suggestions Neymar's arrival would represent bad news for Madrid's all-time record goalscorer Ronaldo.
"Good player are always compatible," he said. "I remember one year they said I wasn't compatible to play with Djorkaeff. We won the World Cup together.
"So good players can always play together. On the pitch there is a chemistry."
Zidane added: "I don't know if we are negotiating for Neymar. What's worrying us is what is going on at the moment.
"I haven't asked Neymar personally because I don't get involved in these things. We have to finish this season, the rest will come after."
Defeat to Liverpool on the back of Barcelona's procession to La Liga glory could mean Madrid planning for the future without Zidane, irrespective of whether Neymar is on the way.
Well-versed in how matters play out in the Santiago Bernabeu's corridors of power, the 45-year-old is typically relaxed about his situation.
"I don't have to say yes or no," Zidane replied when asked about whether he expected to stay. "What happens will happen.
"As you all know here, I'm always positive. I always think about one thing, which is doing everything possible to win.
"What happens, will happen. Here, what counts are the results. That's all.
"The rest, well… we can talk a lot about the rest."