Wednesday's match against Juventus presents Los Blancos with a chance to step closer toward a third consecutive Champions League crown under the Frenchman, whereas his side is cut adrift in its attempt to win him a second league title, Marca reported.
"I don't have an explanation," admitted Zidane on Tuesday.
"We want to win everything. But sometimes, like this year, our consistency hasn't been very good.
"We had a difficult time, especially when it came to scoring. Now we are better in every aspect.
"But it has no explanation. It makes me more excited to win the league, that is the hardest thing and I also think that is what the players want.
"In the Champions League, when you look at the history of the club, you see that nobody has matched us."
Going into the second leg as clear favorite, thanks to the 3-0 win in Turin, Zidane fears complacency and believes any other approach would lack respect.
"It bothers me because the best thing is to not talk about [being favorite]," confessed the coach.
"What I am interested in is showing up on the pitch, not talking. We have to respect all teams.
"For example, the other day, with the match we played against Atletico Madrid, we could have lost.
"I have no explanation, that is football. The big clubs never give up, they can survive everything."
Naturally, Cristiano Ronaldo will start at Estadio Santiago Bernabeu and Zidane spoke of how the winger will be remembered at Real Madrid in the same light as the legendary Alfredo Di Stefano.
"I don't think about playing without Cristiano," asserted the Frenchman.
"We have him and we are happy with what he does.
"There are many people who remember Di Stefano, and rightly so, because many people will remember Cristiano in the future.
"We have him and we have to take advantage of that."