It's understood that the young keeper had agreed a contract to move to the Estadio Santiago Bernabeu but Zidane vetoed it.
"It bothers me when I hear some comments that I won in the end," he said in his pre-match press conference.
"My daily concern is the players at Real Madrid.
"I don't want to talk about players that are not from Madrid because mine are the most important.
"My role is to protect my staff. I have nothing against Kepa."