Lucio put Inter in the lead six minutes into the game, scoring via a deflection into an empty net after goalkeeper Vladimir Gabulov failed to punch clear a corner. Giampaolo Pazzini doubled the lead in the 23rd after Yuto Nagatomo's cross.
Alan Dzagoev pulled one back for CSKA with a free kick on the stroke of halftime and Brazilian striker Vagner Love equalized in the 77th, but the hosts were level for only two minutes before Zarate fired a right-footed winner from the edge of the box.
Inter lost its first game to Trabzonspor at home, while CSKA drew at Lille.
The victory was Inter's second straight under new coach Claudio Ranieri, after the club earned its first Serie A win of the season against Bologna on Saturday.
''I'm pleased for the three points, which allows us to get back on track,'' Ranieri said. ''I'm not sure how far we can go, but this is surely a squad that can make a statement both in Italy and abroad.''
''We saw a squad with a lot of character, and that shows the desire to bounce back,'' Inter president Massimo Moratti said.
CSKA coach Leonid Slutskiy said it was a ''very emotional match'' and praised his players.
''But it's a pity to concede a goal after we had spent so much energy to rally from two goals down,'' he said. ''I cannot blame any of my players.''
CSKA controlled the game but rarely threatened Julio Cesar's goal as the Inter defense denied them space.
The visitors created their second chance three minutes after the opener but Gabulov blocked Joel Obi's header. Nagatomo then broke into the box down the right flank past Alexei Berezutski to set up Pazzini's goal.
The home side had its first clear chance in the 31st when Dzagoev fired a right-footed drive from just outside the box but Cesar tipped the ball over the crossbar.
A minute later Sekou Oliseh's header from a corner hit the outside of the visitors' right post.
Gabulov made another save to deny Lucio in the 41st and Dzagoev then halved the deficit before the break.
CSKA came out aggressively and seized the initiative in the second half.
Midfielder Pavel Mamaev missed the target with an effort in the 48th.
At the other end, Zarate's weak effort was easily blocked by Gabulov, while Inter required Cesar to keep out Dzagoev's powerful shot from just inside the box.
CSKA wasted an excellent chance when Vagner Love failed to meet Zoran Tosic's cross from the right with the goal unguarded. But he soon outwitted his international teammate Lucio near the edge of the box to fire an equalizer.
Zarate immediately hit back, however, to preserve Inter's 100 per cent record against CSKA in the competition.
''Our play during the first half and the pride we showed with the reaction in the second half are the positive notes from tonight,'' Ranieri said. ''It was great to see our will to win and the desire to push for victory after they equalized.''
