The Blues were dumped out of the Champions League semi-finals with a 3-1 second-leg defeat to the La Liga leaders on Wednesday.
The two sides carried a 0-0 first-leg draw into the tie at Stamford Bridge, giving Atletico a potential advantage with away goals, and Zola believes that situation proved decisive.
"It is always a risk when you go into the second game with a 0-0. If you're playing at home in the first leg of a Champions League game and you draw 0-0, then you are quite happy," the former Chelsea and Italy forward told Sky Sports News.
"In the second game, the pressure is on the home team and it can become difficult for them. In my opinion, Jose was trying to be cautious in the beginning to try to do something more aggressive in the end, when the opposition was more tired - but it didn't work out.
"Atletico Madrid is such a big team and in a perfect moment, so nothing could work against them - it's as simple as that.
"Sometimes when the opposition is so good then it's just part of football. On the day, Atletico were better."
Despite their exit from the Champions League, Chelsea still remain in a title fight with Liverpool and Manchester City, with two games to go, and Zola believes the club is getting stronger.
"Chelsea are very ambitious," added the former FWA Footballer of the Year. "Jose is such a good manager and I'm sure they will get better and stronger from yesterday's game.
"Their task is big. There are so many strong teams, especially in Europe, but Chelsea are a part of that."
