The Liga giants booked their spot in the decider despite a 2-1 loss to Atletico Madrid on Wednesday, as they claimed a 4-2 aggregate win.
The final in Cardiff on June 3 will see Zidane face one of his former clubs in Juve, where he starred as a player from 1996-2001 before a move to Madrid.
But the Frenchman said there was no way the holders merited favouritism against the Serie A champions, who have conceded just three goals in 12 Champions League games this season.
"Real Madrid are absolutely not the favourites. It's very difficult to score against this Juve side," Zidane told Mediaset Premium .
"The defence isn't their only strength, either. They have great players in attack, too."
A goal from Isco just before half-time against Atletico settled Madrid, who had fallen 2-0 behind after 16 minutes in the second leg, and it proved enough to help them through.
Zidane said the finalists deserve their spot as he paid tribute to Juve for their role in his development.
"I became a man and a better player at Juve. It's a great club. Facing them in the final will be special, because I still have Juventus in my heart," he said.
"It'll be a wonderful final, we've had a similar path and both teams deserve to be there.
"Now there's time to prepare, but on Sunday we already have an important Liga game [at home to Sevilla]."