Sterling had described Los Blancos as “a fantastic club” and hinted he would be willing to join the Spanish giants.
With City facing a two-year ban from European competitions, the England international’s future has become uncertain.
Zidane admits he is an admirer of Sterling, but is unwilling to fuel speculations.
“I can’t talk about a player who isn’t mine,” he told reporters on Friday.
“He’s a very good player, no doubt about that.”
Madrid face Levante in LaLiga on Saturday, before playing City in the Champions League next week.
Affairsofnaija Reports (AON)