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The Colombian was allowed to leave Madrid for a cut-price fee in the summer and he has taken the Premier League by storm.
Rodriguez has scored three goals and registered three assists to fire Everton to top of the league.
Spanish publication AS per The Sun claim 'Los Blancos' chiefs have expressed their disappointment at how Zidane handled the 29-year-old.
He played just eight games under Zidane last season after spending the prior two years on loan at Bayern Munich.
Club legend Zidane let a number of players leave the Santiago Bernabeu in the transfer window, with Gareth Bale and Sergio Reguilon joining Tottenham Hotspur and Dani Ceballos returning to Arsenal on loan.
Rodriguez's arrival at Goodison Park drew criticism at the time as fans wondered if he could adapt to English football.
Carlo Ancelotti, who worked with Rodriguez at Madrid and Bayern, was quick to dispel the myth.
Speaking after his side's opening day victory over Spurs, he exclaimed: "He has no problem to adapt to the Premier League because we are now playing a different sport!
"It's football, the pitch is the same everywhere.
"But he has to adapt to his new team-mates and know their movements and his team-mates have to adapt to know his quality better.
"He did four days of training and his performance was outstanding. This is what he can do on the pitch."
Ancelotti's former assistant Paul Clement thinks the Italian's influence is what brought Rodriguez to Merseyside.
He told The Times: "It's like when he went to PSG.
"There were bigger, better opportunities but it was exciting. It was good for PSG that someone of his profile could come and attract Thiago Silva, Zlatan (Ibrahimovic), Thiago Motta.
"Those players come because they have a coach of that level. You've seen that at Everton already.
"The signing of James Rodriguez doesn't happen if Carlo is not there."
Everton were last in action on Saturday afternoon and drew 2-2 with bitter rivals Liverpool in the Merseyside derby.
Do you think James Rodriguez is one of the best signings in the Premier League this season?
Let us know in the comments.
Featured Image Credit: PA Images
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