In an interview with Madrid publication AS, Sterling described Los Blancos as "a fantastic club" and suggested he could be interested in playing at the Santiago Bernabeu, although he made it clear he is happy at City.
With Pep Guardiola's side facing a ban from European competition pending the outcome of a planned appeal, the future of Sterling is likely to intensify over the coming weeks, particularly with Madrid and City meeting in the last 16 of the Champions League.
Madrid head coach Zidane is undoubtedly an admirer of Sterling, but he seems disinclined to encourage speculation.
"I can't talk about a player who isn't mine," he told reporters on Friday. "He's a very good player, no doubt about that."
Madrid face Levante in LaLiga on Saturday before their attentions turn to City next week.
One player hoping to impress is Rodrygo, who has not made a league appearance since January 26.
"He hasn't been in the last three squads, but we know he's an important player for us and when everyone is there, you have to select a squad," Zidane said of the Brazilian.
"That's all it is, because we're happy with him. He's shown he's very good."
Madrid captain Sergio Ramos is said to be at an impasse in talks over a new contract, with Madrid reportedly unwilling to match their captain's request for a two-year extension.
Zidane, though, expects a new deal to be agreed without too much complication and is even backing the defender in his desire to represent Spain at the 2020 Olympics in Tokyo.
"Sergio's renewal looks easy to me. I want Sergio with me. He's our captain, our leader and an example as a player," he said.
"He's very important for all Madridistas, for the players...
"He should go, of course [to the Olympics]. I will support him. It's very beautiful to play for your country."