James -- who has been linked with moves to the Premier League and Serie A -- didn't feature as Madrid beat Alaves 2-0 on Friday night to go four points clear of rivals Barcelona at the top of La Liga.
The playmaker didn't travel for Madrid's previous game, a 1-0 win at Athletic Bilbao on July 5, either, with Zidane saying he "wanted to be left out for his own reasons."
James, 28, signed for Real Madrid from Monaco for €75 million in 2014 and was an initial success, but his contribution since returning in 2019 from a two-year loan at Bayern Munich has been limited.
"It's a good question, I'd like to know too," James told Gol Caracol last month when asked why he has started just five league games this season. "It's complicated when your coach doesn't give you minutes. It's hard to show what you can do... I'm not one of the key players, that's clear."
He is unlikely to feature as Real Madrid play three games in seven days next week as they look to win La Liga for the first time since 2017.
The team have won eight games out of eight since the competition restarted, keeping six clean sheets -- although three of their last four goals, including Karim Benzema's opener against Alaves, have come from the penalty spot.
"If it's a penalty, it's a penalty," Zidane said in his post-match news conference. "I look at the move to get there. The move was really good, with Ferland [Mendy]'s involvement. That's the most important thing. A penalty is given and that's it. It doesn't matter to me, the important thing is to score goals in any way."
Benzema -- who has scored 18 goals in La Liga this season -- looked to be struggling with a neck injury at half time, and a possible muscular injury on the final whistle.
"It was just a knock," Zidane said. "He felt dizzy at half time but he was OK in the second half. I think he's fine.... Now we have to rest. I don't think it's anything important, just tiredness. After the game Karim didn't complain about anything."