Franco Colomba is under pressure at Parma.
But Zenga has used his Twitter account to respond to the speculation linking him with the Stadio Tardini outfit.
"I'd be happy to return to Italy and it is an honour to be associated with Parma," he commented. "However, I have to point two things out.
"Firstly I am under contract with Al Nasr until June 2012. Secondly, my wife Raluca is expecting a baby which will be born in two months."