Mourinho revealed on Saturday that the French legend had left his role as Madrid's sporting director two months ago.
"My relationship with Mourinho is the same as it's always been," he told Marca. "I'm still working at Real Madrid, with the youth academy.
"In the meantime, I'm working towards my coaching badges, and then we'll see what happens next year. I said a long time ago that I wanted to be a coach."
Zidane played for Madrid between 2001 and 2006, winning La Liga in 2002-03 and the Champions League in 2001-02.