The Italian, 40, spent three seasons with Los Blancos after captaining Italy to victory in the 2006 World Cup.
Zidane was Carlo Ancelotti's assistant last season, but has now left the role to take charge of the Spanish club's 'Castilla' B team.
Speaking of the stories linking him to Madrid, Cannavaro told Marca: "I have read about it in the press but nothing more than that.
"Everyone knows I have a very good relationship with Ancelotti and that I spent three fantastic years in Madrid. But I know nothing more than that.
"I am a qualified coach, I want to be a coach and so we'll see what happens."
During the current World Cup in Brazil, Cannavaro has been a pundit for British broadcaster ITV.
Last season he was assistant coach with Dubai club Al Ahli, where he finished his career as a player.