Zarate is currently on loan with Velez Sarsfield in his native Argentina after enduring an injury-plagued stay at Vicarage Road.
“I made a mistake in leaving Lazio at the time. I regretted it later," he told Radio Incontro Olympia. "Going back? I think it's impossible.
“I'd love to go back and play in the team under Simone [Inzaghi], but we must also see if the coach wants me. It would be a dream.