On Thursday, the RFU's appeals committee upheld a 3-0 win for Dynamo and forced Zenit to play two home games behind closed doors after their match on Nov 17 was abandoned when the Dynamo goalkeeper was injured from firecrackers thrown by fans.
Each club was also fined $16,000 for the crowd trouble at the Khimki arena in suburban Moscow where Anton Shunin suffered burns to his cornea in both eyes and some loss of hearing.
"Zenit feel that during the hearing, the appeals committee did not take into account all the facts, did not identify the person responsible for throwing the flare and also failed to prove that it was a Zenit fan," the Russian champions said on their website (www.fc-zenit.ru) on Thursday.
"Therefore, Zenit intend to take their appeal to the Lausanne-based Court of Arbitration for Sport (CAS)."
Earlier, Zenit threatened to pull out of the championship in case of "unfair penalty". The penalty is a huge blow to Luciano Spalletti's team in their bid to retain their league title.
Third-placed Zenit trail CSKA Moscow by six points after the league leaders held them to a 1-1 draw played behind closed doors in St Petersburg on Monday.
Zenit face Spartak Moscow away on Friday before hosting second-placed Anzhi Makhachlaka next weekend.
The big spenders, owned by Russian energy giant Gazprom, also went out of the Champions League after being held to a 2-2 home draw by already qualified Malaga last week.
They play their final Group C game at AC Milan on Tuesday.