Los Blancos go into tonight’s final in Milan against their city rivals in danger of finishing the season without any silverware.
They were runners-up in La Liga to Barcelona and were kicked out of the Copa del Rey for fielding the ineligible Denis Cheryshev in their 3-1 win over Cadiz in December.
But Zidane, who replaced Rafael Benitez as boss in January, insisted defeat in the final cannot be considered a failure after their work to reach San Siro.
He told a press conference: “I don’t think it’ll be a failure if we lose, no-one can take away what we have done up to now.
“Failure can come from a bad attitude and if we cannot replicate what we have done in the past that would be a failure, but it’s a game of football.
“You don’t know what could happen. All I can say is we are very ready for the game.
“We are just one game away. We are all very happy to be in this final and ready is the word. That’s all. There is just one more night to go, sleep tonight and tomorrow play a great final.
“I have worked hard with all the players and we deserve to be there. Atletico can say the same. We both deserved to get here. I am happy with the work we have achieved and what we have done. We have suffered a lot but that’s normal. Without suffering it’s impossible to get to a final.”
Real Madrid have scored almost twice as many goals as Atletico in this season’s tournament, netting 27 times compared to Los Rojiblancos’ 16.
They also beat them 4-1 in the 2014 final after Sergio Ramos scored an injury-time equaliser to send the game into extra time and allow Gareth Bale, Marcelo and Cristiano Ronaldo to wrap up victory.
Zidane wants to repeat the result but insisted, even if the squad is slightly different with Iker Casillas and Sami Khedira having left, they have maintained the same ethos.
He said: “Some players went but in this club the ideas are always the same. The idea for Real Madrid has always been to follow the great history of this club, to be united, work with colleagues, play well with quality and play well in every game.
“What we want to do is to repeat that and give everything we can.”
The head coach is without Raphael Varane, with the defender’s thigh injury also ruling him out of France’s Euro 2016 squad, while Alvaro Arbeloa is battling a knee problem. But Zidane added Ronaldo was fully fit after he was forced to leave a training session early on Tuesday.
He said: “He’s 100 per cent at the moment. He did have something before the Manchester (City) game (the semi final) but now I think he is okay. He had a slight problem but it’s completely different now. He is going to be 100 per cent.”