The French Football Federation (FFF) have ruled the Madrid striker out of representing Les Bleus following a meeting between president Noel Le Graet and national team coach Didier Deschamps on Wednesday.
Benzema had previously been suspended from France duty by the FFF in December pending the outcome of a legal investigation into an alleged plot to blackmail fellow international Mathieu Valbuena.
Zidane – a World Cup winner with France in 1998 - was reluctant to get drawn into the issue, but revealed he has spoken to the 28-year-old, who is despondent over the verdict.
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"I have spoken to him," said Los Blancos' head coach.
"I'm not going to enter into the Federation's decision to leave him out but he is quite upset by it all - he's sad and annoyed because he wanted to be a part of the team at the tournament.
"He can contribute a lot to the national team because he's a great player. I am completely confident that he will continue doing a good job for us.
"I cannot comment on whether I think it's fair or not, but I will continue to support him and give him confidence."
Benzema has scored 21 goals in 22 La Liga games this season, a mark that matches his best-ever league return since signing for Madrid in 2009.