Igor Semshov gave the visitors the lead in Cardiff late in the first half after being set free by Andrei Arshavin.
But Igor Denisov played a one-two with Andrei Arshavin before firing home and Konstatin Zyryanov side-footed in to secure Zenit's first European trophy.
Goals in the second half of added time from substitute Dmitri Torbinski and the magical Andrei Arshavin capped a triumphant night for the Russians.
Despite their numerical inferiority, Arsenal continued to press forward as the effervescent Emmanuel Eboue curled a fine cross for Andrei Arshavin to nod over.
But the Russians survived a missed penalty from Denis Kolodin and the late sending-off of Andrei Arshavin to secure their ticket to the Alps.
The trophy was effectively settled 18 minutes from time, when midfielder Igor Denisov combined smoothly with playmaker Andrei Arshavin before slotting home Zenit's opening goal.
With two minutes left, Russia almost got a consolation goal but Casillas made a stunning save to deny Diniyar Bilyaletdinov's header from Andrei Arshavin's cross.
However, Russia forward Andrei Arshavin settled the match on the counter-attack with five minutes to play as Arsenal clinched a seventh successive win in all competitions.
Arsenal also lost Russia forward Andrei Arshavin and France defender William Gallas to calf injuries, while Brazil midfielder Denilson and defender Gael Clichy are also doubtful.
And with no Niklas Bendtner to call upon, Marouane Chamakh looks set to lead the striking line against Bolton at the Emirates with Andrei Arshavin offering support.
And his replacement, Russian Andrei Arshavin, failed to close down Valencia as he got into the area late in the game to tee up England striker Danny Welbeck for the winner.
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Arsenal have suffered another injury blow with midfielder Alex Song ruled out with a knee problem, joining captain Cesc Fabregas, France defender William Gallas and Russia forward Andrei Arshavin on the sidelines.
Goals by Steven Nzonzi and David Dunn threatened an upset for Blackburn, but the Gunners hit back through goalscoring defender Thomas Vermaelen, Robin van Persie and Andrei Arshavin to lead 3-2 at halftime.
He has got people like Pavel Pogrebnyak and Andrei Arshavin, who both showed with Uefa Cup-winning side Zenit St Petersburg that they are quality players who can play to a very high level.
Roman Pavlyuchenko scored in the first half and Andrei Arshavin, coming off a two-match suspension, made it 2-0 right after the break to set up a match against the Netherlands on Saturday in Basel.
Walter Smith's side were always going to have to rely on their defensive expertise again, and so it proved early on when Zenit's star man Andrei Arshavin was released through on goal, only to pull his shot wide of the upright and ripple the side-netting.
With Zenit midway through the Russian season, the difference in sharpness between the sides was clearly evident, and Dick Advocaat's side showed they could well be a threat in this season's Champions League - even without Andrei Arshavin, who has been heavily linked with Spurs and who only played 45 minutes in Monaco.
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