Zamalek are in the market looking for a coach to succeed Jose Peseiro, who was shown the door.
Reports indicated that Mokwena, who has also been linked with a return to Pirates, was among the top candidates to take over at the Egyptian outfit.
Now Mokwena has revealed that Mosimane is also among the coaches Zamalek are reviewing, and in that case, he pulled out of the race.
Mokwena left Casablanca after a strained relationship with the club, even though he led them to a third-place finish last season despite those challenges.
He joined the Moroccan outfit after he left Sundowns, a club he won two Premier Soccer League titles and the African Football League with.
His refusal to take over at Zamalek means he has turned down an opportunity to try and prove himself in North Africa again.