Zenit gave an early demonstration of their counter-attacking prowess when captain Anatoly Tymoschuk robbed a hesitant Brahim Hemdani in midfield and a swift break ended with Andrei Arshavin shooting narrowly wide.
Rangers quickly settled though and Zenit's Victor Fayzulin made a well-timed interception to clear Jean-Claude Darcheville's dangerous cross into the goalmouth in a decent opening for both sides.
The Russian side enjoyed plenty of possession with Tymoschuk at the heart of some intricate passing moves. Fayzulin headed over an Arshavin cross, then Alexander Anyukov tested Rangers goalkeeper Neil Alexander with a rasping drive.
Rangers were content to soak up the pressure, showing little attacking intent of their own as Zenit probed away with Arshavin a menacing presence on the left flank.
ORGANISED DEFENCE
Walter Smith's side conceded only two goals in eight games en route to the final and their organised defence held firm.
Zenit's Turkish forward Fatih Tekke, handed a place up front by Advocaat in place of suspended striker Pavel Pogrebnyak, was given no opportunity to gain from a succession of Arshavin crosses into the danger area.
Rangers were the first to threaten after the break when they at last created a clear opening, Darcheville getting ahead of his marker to fire a low shot that was parried by Vyacheslav Malafeev.
In the ensuing scramble Rangers were adamant they should have been awarded a penalty by Swedish referee Peter Frojdfeldt when Barry Ferguson's flick appeared to strike the arm of Denisov.
Rangers were pushing further forward but in doing so left themselves exposed to Zenit's swift counter-attacks which on 64 minutes nearly brought the breakthrough.
Alexander rushed out of goal to intercept a long clearance downfield but Arshavin was first to the ball. Rangers were fortunate to have two defenders alive to the danger and Sasa Papac got back to clear Arshavin's curling strike off the line.
Zenit finally found a way to beat Alexander when Denisov and playmaker Arshavin split the Rangers defence through the middle with the former slotting the ball home from eight metres.
Konstantin Zyrianov hit the post from close range a few minutes later before the midfielder converted Tekke's cross in added time after a fine passing move to spark a Russian party.
(Agencies via Shanghai Daily May 15, 2008)