OL president Jean-Michael Aulas was holding out for an offer of closer to £50m including add-ons, and with the window closing tomorrow, the player has told team-mates that he is staying for the time being.
But in his press conference ahead of his side's trip to Levante, Zidane noted that he was a fan of the talented 22-year-old.
He said: "I don't know what information you have. I have no doubt about this player, he is a great player.
"Maybe one day he could play for Madrid, but today we have this squad and my concern is the players I have now. From the fifth [October, when the transfer market closes] there will be no such questions."
Reports in Spain suggest that an offer of £20m plus forward Mariano Diaz would tempt Lyon into a sale, but with the window closing tomorrow is seems that any chance of a deal being done at this late stage is remote.