Stekelenburg joined the capital club from Ajax last summer, but he and his team struggled for consistency under Coach Luis Enrique.
"I've never thought about leaving, I have no reason to," the custodian told the Gazzetta dello Sport. "I'm happy in Rome, I have a contract and the team is good.
"Zeman? I've heard that he likes to play attacking football and that was the case with Luis Enrique too, so I'm used to that.
"I know that Zeman has already coached Roma before and that he did a good job - I have no motive to worry.
"Roma will be good enough to start again, as will Holland."