The Argentine joined the Nerazzurri on loan from Lazio in the summer, but he's struggled to impress at San Siro.
"He's a golden boy," the tactician told the Corriere della Sera. "He also has everything needed to be a champion.
"But I do sometimes despair. At times I realise that I need to throw him into a game, but he doesn't touch the ball, he doesn't chase opponents, he just watches the match.
"Then, the day after, he is a phenomenon in training. I then say to him: 'Why didn't you do that yesterday?'
"It saddens me, but I can't let him play with an earpiece in. Maybe it's my fault too, because I can't seem to find the key to get into Zarate's heart."