Cristiano Ronaldo and Jese Rodriguez scored second-half goals at the Stadio Olimpico to put the Spanish side on course to reach the quarter-finals of Europe's premier club competition.
However, Roma have won three Serie A games on the spin since being beaten by Madrid - scoring 12 goals in the process - and Zidane acknowledges the Italians are "very strong" opponents ahead of Tuesday's fixture at the Santiago Bernabeu.
"They're a very good team, but I'm more concerned with my own team," the Frenchman said at a pre-match media conference.
"I know it'll be difficult, they're very strong. We have to concentrate on this match, all games are there to be played.
"I keep repeating that, because that's the way it is. If we don't play well we could lose and be eliminated, that's clear.
"We're focused and we're preparing in the best way. It's the most important match for us, because it's the next one."
While Madrid put seven goals past Celta Vigo in domestic action on Saturday, they still sit 12 points behind leaders Barcelona in La Liga.
As they are already out of the Copa del Rey, the Champions League - a competition Zidane won as a player during his time at the Spanish club - is their most realistic chance of a trophy this season.
"When you start your career in coaching it's to play matches like this. I've already had these emotions as a player, it's an indescribable feeling," Zidane added.
"What we have to do is to win, we can only think about tomorrow's game. Many people will think it'll be easy, but that's not the case."
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