The Italian played for the Premier League club between 1996 and 2003, winning the FA Cup twice and the League Cup once.
"I'm really enjoying what I'm doing over here," he told talkSPORT.
"To be honest, I am more concerned with what will happen between now and the end of the season, which is going to make a big difference for me. My focus and attention is on Watford."
Zola became the Watford manager in July 2012.