Lyon have beaten Real three times in a row at home, their most recent triumph last season when the Spaniards lost in the last 16 for a sixth successive year.
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The teams meet again in Lyon on Tuesday in a last-16 first leg, but Zidane is not suffering from divided loyalties.
"I'm here to work for the team, I hope it goes well for Madrid," he told a news conference, where the number of journalists and security personnel overshadowed the earlier Lyon media gathering at their own Stade Gerland.
Retired Zidane, adored by both France and Real fans for his mesmeric displays when winning the 1998 World Cup and 2002 Champions League, works for Real as a consultant and has been furnishing coach Jose Mourinho with details of Lyon's probable game plan.
"They are difficult opponents who know how to play games like these, but we are Real Madrid," said Mourinho, a great in the making as he aims to become the only coach to win the Champions League with three clubs.
"Statistics and history are in the past."
Real centre-back Ricardo Carvalho, a Champions League winner under Mourinho at Porto in 2004, added: "Everyone knows how important the Champions League is for the club and for ourselves.
"We have to play both games at a high level and also to score away is important."
