The Galacticos are on course for a third successive UEFA Champions League crown, even after Wednesday's 3-1 loss to Juventus, as Real progressed 4-3 on aggregate to book their place in the semi-finals.
In stark contrast, Los Blancos have struggled domestically and are a whopping 15 points adrift of runaway leaders and bitter rivals Barcelona with seven matches remaining this term.
When asked about the varying levels of form domestically and on the continent, Zidane is quoted by Marca as saying: "I don't have an explanation.
"We want to win everything. But sometimes, like this year, our consistency hasn't been very good.
"We had a difficult time, especially when it came to scoring. Now we are better in every aspect.
"But it has no explanation. It makes me more excited to win the league, that is the hardest thing and I also think that is what the players want.
"In the Champions League, when you look at the history of the club, you see that nobody has matched us."