Rodriguez is wanted as a blockbuster alternative to Romelu Lukaku, who Everton boss Ronald Koeman has confirmed will be staying at Goodison Park.
However, Zidane says Rodriguez is happy at the club, despite the midfielder starting just 17 league games last season.
"He is well and happy," Zidane said after Madrid thumped Real Sociedad 3-0 in their La Liga opener yesterday - with Rodriguez only coming on for the final 13 minutes.
"He worked and helped us to gain the three points."
GETTY
James Rodriguez is wanted by Chelsea
Rodriguez is currently in his third season at the Santiago Bernabeu, having signed for £63m after the 2014 World Cup.
Chelsea boss Antonio Conte, meanwhile, is desperate to bolster his squad before the transfer window shuts next Wednesday.
Despite winning their opening two Premier League games against West Ham and Watford, the Italian is desperate to land some reinforcements having only signed N'Golo Kante and Michy Batshuayi this summer.
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