Madrid was among the 12 founding clubs of the competition that was announced earlier this month, with club president Florentino Perez installed as the Super League's chairman.
But last week, within 48 hours of the plans being confirmed, the six English clubs involved all withdrew, and they were soon followed by Atletico Madrid, Inter and Milan. Juventus remain supportive of the Super League but did acknowledge the collapse of the initial proposal.
Madrid and Barcelona have been defiant since, however, adamant their plans still have merit and are not completely dead.
UEFA is threatening to punish all of the 12, but the English clubs withdrawing early could earn them some leniency, though Zidane is not worried about the idea of Madrid being barred from the Champions League next term.
Speaking ahead of Wednesday's (AEST) semi-final first leg with Chelsea, Zidane said: "You have already asked me about all this and I have already answered.
"It is absurd to think that we will not be in the Champions League. There is a lot of talk from outside. There is going to be a lot of talk, but we don't control it, I just focus on the game.
"But my opinion is that we all want to see Madrid in the Champions League."
It was also put to Zidane that UEFA's stance could potentially be reflected by the officials being harsh on Madrid against Chelsea.
"The referee is going to do his job and we are going to play football," he replied. "We just have to think about that.
"If we start to think that what is being said is going to harm us, we are screwed. We are going to compete from minute one to 90. The rest, we don't get involved in."
The Champions League fixture follows a tricky LaLiga title tussle for Madrid, whose 0-0 draw with Real Betis on Saturday seeing them miss out on going top of the table.
With leaders Atletico losing to Athletic Bilbao on Sunday and Sevilla beating Granada, just three points separate top from fourth in what is shaping up to be the most thrilling title race in years, but Zidane insists Madrid will not be giving one competition priority over the other.
"We are not going to choose. We are alive in both competitions," he added. "We have had a lot of difficulties this year, but we have always been able to lift ourselves.
"There is a month left and we are going to compete until the end. There is no other thought in my head.
"What we want to do is give everything on the field, without thinking that winning will not be possible."