Many of City's big-name players' futures are in doubt after they were handed a two year ban from European competition from UEFA for breaching financial fair play rules, although City have appealed against the decision.
When asked about Sterling ahead of Madrid's La Liga game against Levante on Saturday, Zidane refused to be drawn into talking about his future.
"I can't talk about a player who isn't mine. He's a very good player, no doubt about that," Zidane said.
The French manager will see Sterling up close in their Champions League last-16 tie against City, with the first leg taking place at the Bernabeu on Wednesday.