The legendary French midfielder has previously stated his desire to become a coach, and Mourinho has insisted that Zidane did not leave the club on the back of a row between the pair.
Mourinho told reporters: "You journalists have been sleeping, it has been two months since Zidane left.
"He told us he wants to go to the place where he feels best and he wants to coach.
"He is now back in France and studying for his coaching qualifications."
Zidane spent six years at the heart of the Madrid midfield between 2001 and 2006, and had been sporting director at the Bernabeu since retiring following the World Cup in Germany.