Zenden, who spent two seasons at Liverpool under the Spaniard, revealed his old boss has picked his brains for advice over the past five years.
Zenden, 36, said: "Rafa phoned me on Wednesday evening. He said 'Get yourself ready and come to London for 1pm on Thursday - we're going to work at Chelsea'.
"He told me 'If you don't come over, I'll shoot you!'.
"It was an offer I couldn't refuse. If a club like Chelsea calls on you that really means something.
"Chelsea are a fantastic club. It's a real piece of luck for me to get my first coaching job with them - you can hardly find anything better.
"I worked with Rafa for two years at Liverpool. You can't help but feel proud when he speaks so highly of you and offers you a chance like this.
"He often used to phone me when he wanted information on particular players. I've been at numerous clubs, I know a lot of people in football and I've been to watch lots of games as a pundit for Sky, ITV and Al Jazeera.
"Rafa was over for a coaching clinic and we had a chat about football at the hotel in Doha.
"I don't have a coaching diploma but I can still work as an assistant in England. Of course, I mean to do something about this missing bit of paper.
"I'll probably do it in England but, in future, I want to do my Pro Licence qualifications in Holland."