Madrid have won the last two finals and are heavily fancied to make it three titles in a row in Kiev.
However, Zidane is reluctant to recognise the fact that many are tipping his side for another win, instead insisting the teams begin the match on a level footing.
"People say a lot of things. We know it's not that way," he said. "A final is a final. We are not favourites, Liverpool are not favourites.
"What we have to do is play a great game. Favourites? In the dressing room, that's not what we believe."
Zidane is also keen to ensure a third straight final appearance does not lead to complacency in his players, urging them to savour every moment of the dominance in European competition.
"We're just enjoying this moment, enjoying the preparation, enjoying the fact we're in another final," he continued. "We've already lived many things and perhaps we will live through more of these amazing things or maybe it will never happen again, so we have to make the most of it.
"We are humans and us humans are fuelled on emotion and that makes things more beautiful in life."
Liverpool boss Jurgen Klopp described Zidane's tactics as a "good kind of chaos" earlier in the day and Zidane acknowledged those comments in his own assessment of how Saturday's match will pan out.
"Football is very simple. There are two teams and you have to understand the way that you can do damage to the other team and control the damage that the other team can do to you," he said.
"So, with your own philosophy of the way you play... we've had chaotic moments, tomorrow we'll have more.
"But you have to minimise those moments, keep things tight, but there will be moments when you have to dig deep."