The Egyptians were on a high after beating Orlando Pirates 4-1 in their last group game, but they had no answer to the Tunisians at the Stade Olympique de Sousse.
Maroune Tej opened the scoring after five minutes, before Baghdad Bounedjah doubled the lead on 11 minutes.
Zamalek pulled one back midway through the first half when Ayman Hefni found the net, but Alaya Brigui ensured a 3-1 halftime lead for the hosts.
It stayed that way for most of the second stanza, but two late strikes from Tej and Saddam Ben Aziza virtually guaranteed a final spot for Etoile du Sahel.
In the other semi-final, Pirates beat Al-Ahly 1-0 at Orlando Stadium last night.