According to Sky sources, Real is in talks with PSG over signing the Brazil forward, who joined the Ligue 1 champion in 2017, but the La Liga club has not yet made a formal offer for him.
PSG manager Thomas Tuchel said he can understand why supporters are frustrated with Neymar after the Ligue 1 side began its title defense without him by beating Nimes 3-0 on Sunday.
Speaking after Real's penalty shootout defeat to Roma in its final preseason friendly, Zidane suggested Neymar moving to Madrid remains a possibility, with three weeks to go until the transfer window closes for European clubs.
"Neymar is not [in our squad] but until September 2, anything can happen," Real's head coach said.
"We are with the squad that we have and we are only thinking about that."
Meanwhile, Gareth Bale featured for the first time in four preseason matches against Roma, which comes after the Wales forward's proposed move to Chinese club Jiangsu Suning collapsed earlier in the window.
The 30-year-old's future in Spain remains uncertain, while his teammate James Rodriguez has been linked with a host of European clubs, and was recently included as part of a £27.6 million offer from Real Madrid for Manchester United's Paul Pogba.
Zidane said, "Bale and Rodriguez are two players in our squad, but anything can happen [until the end of the transfer window]. James Rodriguez is a Real Madrid player under contract, he was not called but everything can change."
The transfer window for Spain's La Liga, Italy's Serie A, Germany's Bundesliga and France's Ligue 1 closes at varying times on Monday September 2.