Zola has already played down reports linking him with the vacant post.
And Fulvio Marrucco told TMW: "Zola is a project coach. And he is engaged in a growing project at Watford.
"At present I can say that certainly he would not consider another train. Just remember what happened a few years ago with Lazio.
"We've great respect for Sunderland, which is a glorious and important club, however, with which we have had no contact."