Quotes from an interview with France Football appeared in a selection of British newspapers and suggested that the Italian was hoping to manage former club Chelsea one day.
But Zola was left fuming with the reports and insists he is committed to his role with the Hornets.
"I don't like it at all," he told the club's official website. "I'm not using Watford as a promotion for myself.
"I care massively what happens here, and I am trying things in the best way possible.
"Most of all I am upset for fans having to read headlines which are a long way from what I am saying.
"I speak from the heart about Watford, and what we are trying to achieve here on behalf of the whole club.
"It is not about Gianfranco Zola and how he is doing personally. It is about trying to bring success to this fantastic club, these fantastic people."