Celtic's failure to qualify from Group C has denied China captain Zheng, 29, the chance to play in the Europa League knockout phase.
He told Celtic View: "It was frustrating for me. I was signed too late and that meant I wasn't able to play in the Europa League.
"I was hoping we would qualify for the next round and I would be able to play, but we didn't manage that.
"That was a disappointment but we will just have to try to win the league and make sure we are in the Champions League next season. I would love to play in Europe with Celtic.
"The target for all the players is to win the league and do well in the Scottish Cup. We are disappointed to be out of Europe but we still have a big chance to make the season successful."
Zheng has been at Celtic for just over three months and has been delighted with the welcome he has received from everyone at the club.
The former Charlton star said: "I'm really enjoying my time at Celtic. It's such a big club and the stadium and training ground are really good.
"Celtic have many fans - not just in Scotland but all over the world.
"The manager, players and all the staff have been very welcoming. It's what I expected."
After a difficult October and November, Tony Mowbray's men have found their form in the last three games and will be looking for a fourth successive win at Motherwell on Saturday.
Zheng, who has been in and out of the side recently, said: "Playing for Celtic is not like any other club. There is a lot of pressure and you are expected to win every game.
"It's not always happened since I've been here. We are trying to get a run together just now and I'm confident that we're improving all the time. We are getting better.
"I think we are gaining a better understanding of each other.
"The players have helped me settle in and we are getting better at knowing what our own strengths are. I know what they can do and they know what I can do."
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