Los Blancos face Villarreal in their last La Liga game of the season on Saturday before taking on Liverpool in the Champions League final next Saturday.
"I have 24 players available and I'm fucked," the Frenchman told reporters at his pre-match press conference.
"Sorry, but I can't find a better word, because there are players that will stay in Madrid and not come with us for the last two games. That's the hardest part for me."
Zidane also insisted that the game against Villarreal, who are assured of a Europa League spot, was not a dress rehearsal for the showdown with Jurgen Klopp's Liverpool in Kiev on May 26.
"Absolutely not. They're completely different teams. Villarreal play out from the back, that's not how Liverpool play," said the former Juventus midfielder.
"It's crucial for us to play a good game, the last one in preparation for the final. Then we've got a week to get ready for that game, working on all the details. They're two very different teams."
Real are bidding to become the first club to be crowned European champions for three successive seasons since Bayern Munich in 1976.