The game, which took place in Moscow, ended with a score of 97:95 in favor of the guests.
Billy Baron led Zenit with 21 points.
Alex Poythress got another 16 points.
Aleksey Shved scored 32 points against CSKA.
Double-double scored Nikola Milutinov (15 points and 10 rebounds).
The score in the series up to four wins was 3-2 in favor of CSKA.
The sixth game will take place on June 2.
Earlier it was reported that Kazan UNICS won bronze medals of the VTB United League.