The Spanish champions prop up Group B with one point from two matches, having lost 3-2 to visitors Shakhtar Donetsk before snatching a 2-2 draw at Borussia Moenchengladbach last week.
"Inter are a good team, very physical and play good football. It's a final for us," Zidane told a news conference on Monday.
"There is always talk from the outside about what we have to change, but these guys are competitive. They want to win, and I can say this as a coach.
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"We always aspire to win everything that we're involved in, we always want to show that we're good and that we want more."
Madrid have struggled as an attacking force since the trio of Cristiano Ronaldo, Gareth Bale and Karim Benzema -- who helped the club to their last four Champions League triumphs -- was disbanded, with only the France striker remaining.
Having recovered from persistent injuries, Eden Hazard scored his first goal for Madrid in over a year in Saturday's 4-1 home win over Huesca in La Liga.
Zidane is confident the Belgium forward will continue to improve and form a lethal attacking partnership with Benzema and Marco Asensio in the coming years.
"The players who are here always want to make history, they always want more and to prove themselves," he said. "These three are important and I'm sure they can define an era in Madrid." (Reporting by Hardik Vyas in Bengaluru; Editing by Ken Ferris)
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