Speaking ahead of Madrid's return to action against Sevilla in the King's Cup, Zidane explained that Pepe and Cristiano Ronaldo will both miss the game but he made special reference to Pepe, reports Xinhua.
The 33-year-old is out of contract with Madrid at the end of the current season and as of January 1 he has been able to negotiate a move to another club.
"He is a Real Madrid player and he is important for us as he has spent 10 years at the club and made history here. I would like him to continue," said Zidane.
He was also asked about out of favour forward James Rodriguez. The Colombian has been reduced to a bit-part role and showed his frustration in the World Club Cup when he openly discussed leaving the club.
"He is an important player for Real Madrid and I treat him just the same as anyone," said the Madrid coach, who said James was "in a complicated moment".
"When you don't play in a final you are angry. I know it can be difficult, but it is difficult for everyone," he added.
Zidane will complete his first anniversary as coach after replacing Rafael Benitez midway last season this week.
He admitted that when he stepped into the Madrid hot-seat he has been "stressed, but all of that is over now".