The 30-year-old forward was expected to head out of the Santiago Bernabeu during the current window.
Zidane has made it clear that Bale no longer figures in his plans, but shifting a player on a long-term contract with a lucrative salary is proving to be difficult.
Madrid have since welcomed him back into their pre-season squad and, following the serious injury suffered by Marco Asensio, there is a scenario that could see him staying put and contributing to Madrid's 2019-20 season.
Asked for an update on Bale following a crushing 7-3 International Champions Cup defeat to arch-rivals Atletico Madrid, Zidane said: "We don't know, we don't know.
"At the moment he is here, he played and we'll see what is going to happen. But at the moment it continues like this. Gareth is with us."
Zidane had previously suggested that he expected a deal be done for Bale, with a goal in a friendly clash with Arsenal doing little to alter the situation for a player who had previously ruled himself out of contention for a meeting with Bayern Munich .
He told reporters after that game: “He has played a good game and I am happy for him. As I am for everyone.
“He is with us and we will continue working. We played well 10 against 11 and were better with 10 against 10. I don't know what will happen. He wanted to play and the other day he didn't.
“I haven't talked to him. He has trained normally and that's why he played. Nothing has changed, you know what the situation is like.”
Bale’s agent has made it clear that no loan agreement will be taking his client away from Madrid .
Jonathan Barnett told Sky Sports : “There will be no makeshift deals to get him out of the club.
“Gareth is one of the best players on the planet. I can guarantee you he will not be going on loan to any club.”
Liverpool had been mooted as one possible landing spot for Bale, with Premier League interest having been shown in the former Tottenham star, but Jurgen Klopp has moved to distance the Reds from suggestions that they should be in the mix .
He has said: “Bale is a Real Madrid player and if he leaves it will be outstandingly expensive and big wages.
“He is an outstanding player, I like him a lot but it is not about him. You have to create a team.
“A team is not a collection of the best individual players, they have to work together.”