Zidane, who was working with Madrid’s youngsters, reportedly enjoyed a strained relationship with Mourinho, who confirmed he left two months ago.
“You journalists have been sleeping”, said Mourinho. “It has been two months since Zidane left.
“He told us he wants to go to the place where he feels best and he wants to coach.
“He is now in France and is studying for his coaching qualifications.”
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Since Guus Hiddink arrived at the helm, Chelsea have improved considerably after a tricky start to the campaign.
Newcastle United are staring down the barrel of relegation to the Championship for the second time in the past eight years.