The Frenchman's return to the managerial role increased speculation Hazard could be in line to join Madrid in the summer.
Hazard's current contract expires at the end of next season, and the 28-year-old has made little progress in talks with Chelsea over a renewal.
Madrid's interest in Hazard has been well established, and the Belgian added fuel to the fire earlier this season when he admitted a move to the Bernabeu would be a "dream."
Hazard has also spoken glowingly of Zidane in the past.
"Everyone knows the respect I have for Zidane as a player, but also as a manager. He was my idol," he told Belgian TV channel RTL two years ago.
"I do not know what will happen in the future. However, for sure, to play under Zidane would be a dream."
Prior to Chelsea's Europa League last-16 second leg against Dynamo Kyiv on Thursday, Sarri was quizzed on whether Zidane's appointment increases his fears Hazard could move to the Spanish capital this summer.
The Italian, though, would not be drawn on the question.
"You have to ask to Hazard, I think. I don't know at the moment," Sarri said in his pre-match press conference on Wednesday.
"I didn't speak with Eden about Zidane. I am not worried because you know my opinion.
"I want only in my team players who want to play for Chelsea, so I can't be worried."
Chelsea travel to Ukraine holding a 3-0 advantage after last week's first leg at Stamford Bridge. Sarri, however, isn't taking anything for granted.
"It's a very dangerous match for us," the Italian said. "We need to go on the pitch with the target to win the match, not just to qualify."
"Otherwise we could be in trouble. So our target is to win the match, with qualification a consequence.”
Hazard's team-mate Willian added that he hoped the Belgian would pass up the chance to move to Madrid and stay with Chelsea.
“It's a difficult question. First of all, I hope he stays with us. But in football, you never know what can happen," Willian explained.
"Of course, Eden is a fantastic player, one of the best players in the world. He's my friend, one of the best players I've played with in my whole career. I just have to say I hope he stays with us. That's it.
“No doubt, he's focused here. Of course, he wants to play, he wants to help us win something this season. He's never said something about Real Madrid or stuff like this. He just wants to continue to play for Chelsea.”