With all due respect to his CL wins, he would have been a disaster here. There would have been zero connection between him and the club and it would have turned sour quickly. I also think Zidane was dumb enough to go back to madrid at this time. He had more to lose to and less to gain and yet he went back there. Juve or PSG should have been his next destination. I very much doubt if either of those clubs would risk appointing him.
He was basically a free agent all year yet nobody seemed to have any strong interest him. He wouldn't have returned to Madrid if there was, in reality Madrid was the best job on the table after Flo flopped manager signings. He just doesn't have anything special in him from a manager perspective, no identity on style of play, no charisma, etc.