Ronaldo's name has been a regular fixture in transfer gossip columns over the years and it has been the same story in the last few days, with Paris St Germain now reportedly lining up a big-money swoop in the summer.
Zidane, though, only sees Ronaldo staying at Madrid, with whom the 32-year-old has won 14 trophies and become the club's record goalscorer since joining from Manchester United in 2011.
Speaking ahead of Sunday's LaLiga trip to Celta Vigo, Zidane told a press conference: " I can't imagine a Real Madrid without Cristiano, not at all.
"He's a Madrid player and he wants to finish his career here. I don't see him playing anywhere else."
Madrid return to La Liga action at Balaidos having seen their title defence left in tatters by a crushing 3-0 home defeat to leaders Barcelona in their final game of 2017.
That left the champions 14 points adrift of Barca - albeit with a game in hand - and knowing they will need something approaching a miracle to overturn the deficit to their arch rivals.
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The first objective will be to try and beat Celta, but Zidane acknowledges that is easier said than done against a side who held Barca to a 1-1 draw in their Copa del Rey last-16 first leg on Thursday.
Zidane said: "We're facing a very good team in this league, who work hard and have good players. What they are doing is very good, and we know the difficulty of tomorrow's match. But I'm more interested in what we're going to try and do."
Real's cause has not been helped by an injury to Sergio Ramos which could keep the Spain defender out for most of January, and Zidane admits the loss of his skipper is a significant blow.
He said: "We lose a lot because he's our leader and our captain. We always want him with the team but these things happen.
"The season is long and we want him to recover as soon possible. Hopefully he won't be out for long."
Real Madrid's Spanish defender Sergio Ramos reacts during the Spanish League 'Clasico' football match Real Madrid CF vs FC Barcelona at the Santiago Bernabeu stadium in Madrid on December 23, 2017.
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Celta started the weekend lying 11th in LaLiga on 21 points, 10 adrift of fourth-placed Real and only six above the relegation places.
Coach Juan Carlos Unzue has named the same squad that faced Barca in the cup - omitting John Guidetti, Ivan Villar, Andrew Hjulsager and new signing Robert Mazan - but admits it will not be the same starting XI.
Unzue, whose side also have go to the Nou Camp on Thursday, said in AS: "The two line-ups will be related, players who were substitutes against Barcelona will be starters.
"I've tried to make two teams that are as balanced as possible. I've no doubt that we're going to be competitive."