Hulk put Zenit ahead after Mario Fernandes fouled Oleg Shatov in the 34th minute of the final.
CSKA were level two minutes later as Fernandes made up for his mistake by feeding Aaron Olanare to score from close range.
Zenit went 2-1 up early in the second half when Hulk beat the offside trap and unselfishly laid the ball off to Alexander Kokorin.
Hulk then netted his second penalty in the 63rd minute before Artur Yusupov made the game safe as Zenit lifted the trophy for the third time, after having also won it in 1999 and 2010.
"I want to congratulate the supporters and the club's owners," said former Chelsea and Tottenham Hotspur coach Villas-Boas after claiming his third trophy with the club.
Zenit could go on to land the double. They are fourth in the Russian league, four points behind leaders CSKA with four games to go.
CSKA coach Leonid Slutskiy said his players paid the price for too many mistakes.
"I thought the first half and the start of the second half were even," added Slutskiy. "The team that makes the most errors loses and unfortunately today that was us."
(Editing by Tony Jimenez)
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