Benzema played well, but again failed to score on the day.
"It's been a complicated season in terms of goals for Benzema," Zidane explained in his post-match press conference.
"He'd like to score and he's had chances, he played very well tonight but he lacked a goal.
"He's not going to give up."
Zidane was pleased by his performance and he was also given a warm welcome by the home support.
"I'm happy with his performance and his goal," he intimated.
"He played a great game and I'm happy for him.
"He deserved that great reception, he's been incredibly important for Malaga in the past and today he was important for us."