Bale has been left out of Real's squad as they travel to Manchester bidding to keep their European hopes alive and Zidane has suggested that the Welshman did not want to be involved in the game.
The French coach said: "It was a personal conversation I had with him. He preferred not to play.
"The rest remains between me and him but he said he didn't want to play."
Bale has fallen out of favour in the Spanish capital and has played just twice since Real returned to action following the coronavirus pandemic.
It is believed that 31-year-old winger did not travel to Manchester as he knew he had no chance of playing in the fixture - where Real are looking to overturn a 2-1 deficit to Pep Guardiola's side - and Zidane admits that he is unsure about Bale's future at the club.
The 48-year-old manager said: "I don't know. Now he is a current player at Real Madrid. That has not changed. He is our player.
"I respect that and I respect him, like everyone else.
"He preferred not to play. That is the only thing I can tell you. The rest of us are all here, preparing for the game. The only thing we are concentrating on is the game."