The Blues controlled the game for significant periods but were outscored three tries to one by the Italian side, Zebre eventually running out 30-25 winners.
Mauro Bergamasco, David Odiete and inspirational scrum half Brendon Leonard all scored tries as Zebre secured their first ever PRO12 win.
It was a bad night for the Blues and although Daf Hewitt opened the scoring, Zebre held on for a famous scalp.
"We're very frustrated. There were parts of the game where I felt we were in complete control but we have to give credit to Zebre," said No. 8 Pretorius.
"They pushed Munster very close and we knew they had done their homework in the off season.
"They've recruited well and were hungry for a result.
"One or two lapses cost us dearly. We're more hurt by the fact we were in control of the game. There were passages of play where we were working hard in their 22 and not being clinical cost us."
Zebre's win was secured despite seeing replacement prop Luca Redolfini yellow carded. For a brief moment late on in the game, the Italians looked to have 15 men on the pitch instead of 14, providing a controversial finish.
Come the final whistle though, it was Zebre who were celebrating after Leigh Halfpenny was penalised for holding on as the Blues battered the opposition line.
Zebre's Arms Park victory completed a superb night for Italian rugby, Treviso also claiming a famous win over Munster.
"We know the RaboDirect is more competitive. There are no easy matches so you can't really plan too far ahead," said Pretorius.
"That's what we'll have to do this week, regroup, take it on the chin and go again for next week against Leinster.
"I think as the season goes on we need to keep our heads down and make sure we come out all guns blazing.
"The group of players we have at the moment are a proud bunch of boys. They'll come in on Monday morning and to get their heads up is the easy bit, it's now about getting them to learn."