Zidane, who won the title in 1998 but was famously sent off for headbutting in the last final in 2006 against Italy, had brushes with referees rather than coaches during his illustrious international career which also reaped a European crown in 2000.
"Concerning the players ... I don't agree with the fact that they refused to go to the training pitch," Zidane, 37, who retired after the 2006 final which France lost on penalties, told reporters in Johannesburg.
"There's two things that will be remembered from this World Cup - the winner and the fact that the French team refused to attend the training session ahead of their match with South Africa."
Anelka was expelled from the camp on Saturday after refusing to apologise for an allegedly foul-mouthed attack on coach Raymond Domenech at half-time of the 2-0 defeat by Mexico on Thursday.
The defeat left France almost certain to be eliminated from Group A with Tuesday's final game against hosts South Africa still to play in Bloemfontein.
On Sunday, Anelka's team-mates criticised the expulsion in a statement read out by Domenech and refused to train, sparking a storm of outrage at home led by politicians and former players.
Zidane added on Monday that he deplored the leaking of Anelka's outburst against Domenech to the media but added that players should not interfere with the coach's decisions.
"Even when I was a player, I never gave my opinion on the composition of the team," he said, looking visibly uncomfortable talking about his former team-mates.
"I was the captain and there was a coach above me and I respected him. I followed the rules and that's how I think things should be."
Zidane said he had no desire to become the French coach in the future and that if France came out with a big win against hosts South Africa the ill feelings within the party could be forgotten.
"The only way for people to forget about these issues is if France wins tomorrow's game," he said, adding there was a "very small" hope they could still qualify from the group stage.
Following a dismal start against Uruguay resulting in a goalless draw, France were battered by Mexico 2-0.
Anelka admitted having a heated exchange with the coach but denied the crude words French daily L'Equipe attributed to him.
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