Madrid heads to Sevilla on Sunday (AEDT) having failed to win any of its previous three LaLiga matches, suffering losses to Valencia and Deportivo Alaves either side of a draw with Villarreal.
Los Blancos have never endured a winless run of four league games under Zidane, and the champion is already seven points adrift of pacesetter Real Sociedad – although arguably the greater concern is second-placed Atletico Madrid.
Diego Simeone's men are unbeaten this term and, although a point behind La Real, they have two games in hand on them and one on their city rivals.
Wednesday's (AEDT) 2-0 defeat to Shakhtar Donetsk increased the pressure on Zidane as Madrid's UEFA Champions League progression hopes were left hanging in the balance, but the Frenchman continues to put on a brave face.
When asked if he felt he had the club's backing, he said: "Yes, completely, I feel the support of the club. I can't be happy when we lose a game, but we know where we are.
"We are lucky to fight for this club and that's what I'm going to do until the last day, and the players too. We have to be together with what we know how to do."
Zidane was then asked if the players have given him their backing, which seemed to irk the former France international.
"In the end, you guys [the media] always try these things, asking whether the players are with me or not," he replied. "What the players want is to compete and they have always shown their care for me, but it is not the most important thing.
"I have been a player here, coach, I know the history I have with this club and sometimes it is true that things do not work out for us.
"[Criticism] doesn't bother me. It's my position, it's what it is, when you don't win it's like that, it's normal for there to be criticism, but it won't change what I think. We will continue."
Traditionally, Madrid does well against Sevilla – Los Blancos have beaten it 19 times in 30 previous LaLiga meetings, while Zidane has not claimed more wins against any other opponent across all competitions than he has over the Andalusian side (seven).
Nevertheless, UEFA Europa League holder Sevilla – coached by former Madrid boss Julen Lopetegui – is likely to be fresh having rested many first-team regulars during the 4-0 UEFA Champions League defeat to Chelsea.
It is also unbeaten in 15 league games at the Ramon Sanchez Pizjuan, keeping seven clean sheets in its past 10 home games, and will move above Madrid with a win.
But Lopetegui remains wary of Madrid, suggesting its difficult form might make it even more threatening this weekend.
"Real Madrid is always dangerous, and even more so in these situations," he said. "It's a team that has answers for many situations and now that feeds into it to give a good performance. I'm expecting a strong Real Madrid, which will demand the best version of us."