Bayern Munich defender Alaba is out of contract in Germany at the end of the season and negotiations over an extension have so far proved fruitless for the European champions.
The Austria international has been mooted as a target for Manchester United, Manchester City, Chelsea and Paris Saint-Germain as well as Madrid, although Zidane's outfit are considered favourites for his signature in some quarters.
Alaba was a key part of the Bayern team that won the Champions League last season.
However, since the start of 2019-20, he has committed four errors leading to shots in the competition, a joint-high among defenders. None of these have resulted in goals, while Madrid's Raphael Varane has made the same number of mistakes but been punished on all four occasions.
Alaba's statistics over this period are very similar to Varane's, playing 13 games to his 14 and having 29 fewer touches and seven fewer successful passes.
Varane is also just four tackles, two blocks, five clearances and seven interceptions ahead of his counterpart.
Rather than being signed as a competitor to Varane, though, Alaba could partner the World Cup winner as talismanic Madrid captain Sergio Ramos approaches his 35th birthday.
Either way, the speculation does not interest head coach Zidane, who said ahead of facing Celta Vigo: "We've got all our players here. I'm just thinking about the game tomorrow with the players that I have here.
"Then maybe you're going to ask me about the players that are playing a lot or not playing a lot. We have 22 players, 25 with the goalkeepers, a very big squad.
"We have enough to think about with the games that we have not to be thinking about players that aren't even ours. Please, we're thinking just about the game tomorrow."
While Zidane is keeping his focus on LaLiga, where Madrid trail Atletico Madrid by two points, the need to bring in a player of Alaba's calibre would become urgent if a new contract for Ramos was not agreed.
The PSG-linked skipper, Luka Modric and Lucas Vazquez are all free agents, like Alaba, in June 2021.
"Yes, we all want [contracts to be signed]," Zidane said. "We want the situation to be sorted as quickly as possible.
"It's in everyone's interests, it would be good for everyone, so hopefully it can be sorted out quickly."