Madrid are one of a number of elite clubs to have been linked with the Norway international following a goal-laden 15 months at Dortmund, where he has scored 49 goals in the same number of appearances.
Talk of a transfer to the Santiago Bernabeu at the end of the season intensified on Thursday as Haaland's agent Mino Raiola and father Alf-Inge were spotted in the Spanish capital, hours after footage emerged of the pair in Barcelona.
It was reported that Raiola and Alf-Inge were on their way to hold talks with Los Blancos president Florentino Perez over a deal for Haaland, whose reported €75million release clause is not said to come into effect until 2022.
However, Zidane was unwilling to discuss Madrid's apparent interest in the 20-year-old at Friday's news conference previewing a game against Eibar.
"I'm going to be very clear here. I'm very tired of saying the same thing over and over again," he said. "Everything that happens outside of my power, I'm not going to say it's good or bad.
"I'm not going to give an opinion on this. What matters to me is my players and tomorrow's game. I'm getting tired of saying this, but if you and your colleagues keep asking this about other players, I'm going to keep saying the same thing.
"I say all of this because, in the end, it's true; my job, my work is what I do with my players, how I work with my players in the day by day, and focusing on every game that comes in our path. Apart from all of that, I don't know.
"I only think about tomorrow's game. After that... again, you ask this and I say the same thing. We just focus on tomorrow."
Haaland has 21 goals in as many Bundesliga games this term, adding another 10 from six matches in the Champions League, a competition in which he tops the scoring charts.
The January 2020 signing from Salzburg netted twice in BVB's most recent outing, a 2-2 draw at Cologne, to take him to 14 away goals in the German top flight in 2020-21.
That is more than Werder Bremen (13), Hertha Berlin (13), Mainz (11), Arminia Bielefeld (10) and Schalke (eight) have scored as a team at home this season.
Asked for his opinion on Perez meeting with potential transfer targets, Zidane said: "Everyone can do what they want here. I don't have any feelings about this.
"They can do whatever is at their convenience. I repeat again: my job is preparing my players, my staff around me here, everyone at this club around me, for this game, and that is all."
Zidane will be looking to maintain his unbeaten LaLiga record against Eibar on Saturday, winning eight and drawing one of their previous meetings.