Zidane acted as assistant at Real Madrid last season, but was strongly linked with a return to France earlier in the summer.
The Frenchman has since taken charge of Real Madrid Castilla, but the former midfielder has said that his ultimate aim is to manage in the top flight.
"I had the chance to go to Bordeaux but I didn't do so because I wanted to coach Castilla and I jumped at the opportunity," Zidane told reporters at a press conference.
"I spoke to [Bordeaux president] Jean-Louis Triaud, who came to Madrid for discussions. He was very honest and told me there would not be many players coming in. I then made my decision and it's one I don't regret.
"I want to continue with Castilla this year and then we'll see. I'm ambitious and I'd like to coach a team in the top flight."
Zidane picked up his first win as Castilla boss at the weekend.