Reports in Spain claimed Bale was seen golfing while Madrid were losing to the winger's former club Tottenham on Wednesday (AEST), with the Wales forward not included in their tour squad due to illness.
Bale was expected to complete a move to Chinese Super League side Jiangsu Suning, but the deal collapsed at the weekend.
Madrid bounced back from their 1-0 loss to Spurs by beating Fenerbahce 5-3 on Thursday (), but Bale remained the main topic on the agenda after the game.
"I don't know what he [Bale] did. I am here with my players," Zidane told reporters when asked about Bale's apparent golf trip. "I cannot comment on that. I hope he has trained there [in Madrid]. We are here thinking of the team.
"We will see when we get back. I'm not going to stop anybody doing anything, we all have our responsibilities. I don't get into his personal life. He stayed there to train, and I think he did that."
Pressed again on Bale, Zidane said: "Another question? You can't put me in a position I don't want to be. I won't answer more than this."
The CSL's transfer window has now closed, denying Bale a possible exit route from Madrid after six years at the club.
"Until August 31, anything can happen," Zidane added, referring to LaLiga's deadline for new arrivals.
"I am sure you are tired of my answers, as I am tired of them at this stage."
Although Madrid beat Fener 5-3 with Karim Benzema scoring a hat-trick, Zidane's side have now conceded 16 goals in their five pre-season fixtures.
"We are going to fix this, work hard," Zidane said. "I know we will turn this around and have a very good season.
"Nobody likes to concede three goals, but we won scoring five goals. It could have been more. That's it."
Madrid are due to play further friendlies against Salzburg and Roma before opening their LaLiga campaign at Celta Vigo on August 17.