Paris Saint-Germain's world-record signing has been linked with a move back to Spain throughout his first season since leaving Barcelona in a £200 million deal.
Recent reports claim Madrid president, Florentino Perez, is close to finally landing long-time target Neymar.
When asked about the possible interest Zidane avoided answering the question, instead moving the focus onto Madrid's Champions League final at the end of May.
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"I don't know if they are negotiating for Neymar", Zidane said, according to ESPN FC. "We will prepare well for the final well, I'm not anxious".
Brazil worldwide Neymar could be on his way to Spanish club Real Madrid this summer after Los Blancos gaffer Zinedine Zidane admitted that he will be compatible with Ronaldo. Neymar has been out of action since spraining his ankle and fracturing his fifth metatarsal on February 25, which led him to undergo surgery in Brazil as he bids to regain fitness in time for the June-July World Cup in Russian Federation. "People said I was not compatible with [former France teammate Youri] Djorkaeff". What's worrying us is what is going on at the moment. The move always seemed odd, as Neymar is one of the best players in the world, and he should be testing him at the highest level, even if it means he can't be the main man. We have to finish this season, the rest will come after. Emery said. "I am not the person for this".
Zidane's PSG counterpart Unai Emery was also asked about Neymar's future by a Spanish journalist on Friday, but the manager passed the buck to sporting director Antero Henrique.