The Italian spent seven memorable years at Stamford Bridge during his playing days.
"I have been dreaming of becoming a good manager, one who can lead a team like Chelsea," Zola told France Football.
"I work really hard for it. I do not know if I will (manage Chelsea). I think I have the abilities but I do not think I am good enough yet.
"It is only my second coaching experience in a club after West Ham. I still have a lot to do.
"I am really pleased by the plans (at Watford). I know how serious the Pozzo family are. This is the best place I could have found to develop as a coach."