Despite only appearing in six matches this season, the 18-year-old has caught the attention of the German giants, who reportedly launched a recent bid worth £30 million.
Although Chelsea has yet to receive a response from Hudson-Odoi over a five-year contract that was offered to him last summer, Zola says the club believes the English Under-17 World Cup winner's future is at Stamford Bridge.
"I know Bayern is very interested in him, but we're interested in him as well," Zola told reporters, according to BBC Sport.
He added: "We've proposed a contract for quite a while, so we're waiting. We certainly value him as a player. It's about patience. I believe he has a bright future with us."
Chelsea reportedly rejected Bayern's initial offer of £20 million and are expected to reject the defending Bundesliga champions' latest approach.
Hudson-Odoi reportedly issued an ultimatum in late November in which he threatened to pursue other opportunities unless he's given assurances that he will receive more first-team minutes.
The reported threat came after Hudson-Odoi, who joined the Blues in 2007, scored his first goal for Chelsea during a Europa League win over PAOK.
"I know he hasn't played probably as much as he wanted but this is down to the quality of the players in front of him," Zola added. "... He will have to learn that right now for him it's important to get better and better every day."