Alaba will be out of contract at Bayern at the end of the season and on Monday Spanish sports newspaper Marca claimed an agreement on a four-year deal at the Santiago Bernabeu had been reached.
The versatile defender's father, who also acts as an advisor, has since denied anything has been signed with LaLiga champions Madrid.
Asked about the rumours on Wednesday, Zidane was unwilling to get into specifics.
"I understand you want to ask this question on a player that isn't part of our club, but I'm here to focus on Wednesday's game," he said.
"I understand there are topics worth discussing but I'm not going to comment now on outside events. My staff and I are focusing on the game."
The Madrid boss offered a similar response when asked if he would like to have Paris Saint-Germain forward Kylian Mbappe at the club.
He said: "I'm sorry, I already said the same with Alaba. I'm sorry. We're focused on tomorrow's game."
France international Mbappe will be out of contract at PSG at the end of next season and has never hidden his admiration of his fellow World Cup winner and compatriot Zidane.
Asked if the best players in the world ultimate choose where they want to play, Zidane responded: "In the end, yes. But everyone has a contract and it's not good to get involved in the things of players who are not yours."
Since his debut for PSG on August 4, 2017, Mbappe has had a hand in 101 goals in Ligue 1 (76 scored and 25 assisted).
Across the top five European Leagues, only Mohamed Salah (117 – 86 and 31), Ciro Immobile (118 – 92 and 26), Robert Lewandowski (124 – 106 and 18) and Lionel Messi (154 – 106 and 48) have had a hand in more during the same time frame.
He has averaged two key passes per 90 minutes, fewer only than Messi (2.7) and Neymar (3.0) among players to have scored at least 50 goals.