New left-back Ferland Mendy (calf) is the latest player to pick up an injury on a preseason tour of the US, BBC Sport reported.
Mendy joins Brahim Diaz (thigh) and Marco Asensio – who is expected to be out for up to nine months with a torn cruciate ligament – on the sidelines.
"I don't think about who is going to replace Marco," Zidane told Marca.
"We are devastated with Marco's injury and we are preparing the players who are here, then we will return to Madrid."
Zidane, who has previously said Welsh forward Gareth Bale was "very close to leaving" the club, made no comment on whether the mounting injury list meant further changes to his personnel for the season.