The Colombia international joined Real in 2014 for a reported 80 million euros (68.15 million pounds) after earning the Golden Boot at the World Cup with six goals in five games.
After a successful first season in Spain, he has failed to hold down a regular place since Zidane took charge in January. Rodriguez was excluded from the starting line-up in the European Super Cup win over Sevilla and last week's 3-0 La Liga victory at Real Sociedad.
Spanish sports newspaper AS reported on Friday that Rodriguez will seek a move away from the Santiago Bernabeu if he does not start against Celta Vigo on Saturday.
"James is a Real Madrid player and he has a contract with us but it's true that he has played less than others and that could prove a problem," Zidane told a news conference on Friday.
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"I always try to make my players feel important and James is no different than the rest.
"Anything could happen between now and Aug. 31 (when the transfer window closes)," Zidane added.
"I'm sure no-one else is going to arrive but players could leave. I have a squad now and I'm happy with it and some players are going to return (from injury)."
Real produced a dominant performance last week at Sociedad without goalkeeper Keylor Navas, midfielder Luka Modric and forwards Cristiano Ronaldo and Karim Benzema.
Modric is free to play against Celta after completing a suspension but the other three remain out injured. Midfielder Isco sustained an ankle problem in training and will also miss the game.
"The performance at Real Sociedad is the way to go and now we're facing another difficult team who know how to play good football," added Zidane.
"But this is our first home game and with our fans behind us we'll try and get the three points."
(Editing by Ed Osmond)
