Bale's name was missing as Los Blancos announced a 24-man squad for the trip to the Etihad Stadium on Wednesday, with captain Sergio Ramos included despite being unable to play because of suspension.
The topic dominated Zidane's pre-match press conference on Thursday, and the Frenchman claimed the winger had 'preferred not to play' against City.
"We have a respectful coach-player relationship," he said. "The only thing I can say is that he preferred not to play.
"Nothing more. The rest is between him and me."
Despite further questions, Zidane refused to elaborate on the 31-year-old's exclusion, but his explanation did not tell the full story.
Standard Sport understands Bale did ask to be left out of the travelling squad, but only because he has been ostracised in recent weeks and knew he would not play in Manchester.
Since lockdown, the former Tottenham attacker has played just 100 minutes across two appearances (one start) and did not feature in any of the final seven league games.
His request to be left in Madrid was not because he did not want to play, therefore, but in order to avoid a further 90 minutes watching from the sidelines when he knows his coach has no intention of using him.
While Zidane would not reveal details of their conversation, it seems clear that the winger was told he would not be featuring in Manchester and that is why he has been left out altogether.
It is a similar situation to the one involving Colombian playmaker James Rodriguez, who asked to be left out of Madrid's trip to Athletic Club in LaLiga last month and has not played since for Real.
Bale has two years left on his contract at Madrid and his agent, Jonathan Barnett, said recently that he could stay at the Santiago Bernabeu until his deal runs out in 2022.
The Welshman was close to a move to China last summer, only for the transfer to Jiangsu Suning to break down as Real demanded a fee.
Madrid are keen to move on their €100million (£90m) signing this summer, with Bale thought to be open to leaving if he is handed a free transfer.