Sarri's side have fallen to sixth in the Premier League and the Italian is under growing pressure at Stamford Bridge.
Speaking ahead of Chelsea's fifth-round FA Cup clash against Manchester United, Zola said there were also initial questions over Guardiola, who went trophy-less in his first season at City in 2016-17.
"How do you know that we are not making changes?" Zola said.
"We are adjusting a few things but without changing where we want to go. The direction is always the same.
"Two years ago you were probably asking the same questions to Pep Guardiola. I do remember you asking him, 'Is that the case that you keep playing from the back?'
"And I remember the answers of Pep, saying, 'This is not in discussion, this is part of my game, I know I am going through this difficult moment, and I don't change it'."
"I think and I believe that it is the case that there's the criticism of the coach, but I haven't felt anything about them dropping the coach. I don't have much to say about that. We stick altogether, the staff and the team," the striker said.
"We want to look forward and be positive. That's it. We will work on the same path and the same targets."