Sport says the Bernabeu was believed to be his favoured destination - with Zidane himself gushing over the player.
But with just days to go until the European transfer window closes, the Frenchman seems no nearer a move.
And this has left Zidane fuming.
The boss believes the club "never truly wanted to sign the French midfielder", despite him pushing for a deal to get done.
He feels that he has been "lied to" by club president Florentino Perez.