Toronto, Canada – By Greg Stutchbury
The Belgian, playing just her second competitive tournament since returning to the game after an 18-month retirement, thrashed Zheng 6-1 6-0 and will play defending champion Serena Williams in Saturday's final.
It is Henin's first grand slam final since the 2007 U.S. Open, when she beat Russia's Svetlana Kuznetsova.
"It's coming very early for me to be in a grand slam final," Henin told reporters.
"It's a lot of things to deal with ... that took some energy, of course, in the last few weeks. I didn't know what was going to happen."
The seven-times grand slam winner was not seeded for the Australian Open because she has not played enough tournaments to receive a ranking and had a tough path to the final.
Henin had to overcome world number five Elena Dementieva in the second round after receiving a wildcard to play in Melbourne and had some testing matches after beating the Russian.
"(I had ) a tough draw here," Henin said. "Had to deal with a grand slam, which is always different. So it's been already a lot of pressure."
Henin, who has complained of fatigue during the tournament, was ruthless in her demolition of Zheng, rattling off 12 straight games to seal victory in just 51 minutes.
However she said that she had to rein in her emotions before the semi-final.
"I knew it could be a dangerous match," said Henin. "A grand slam semi-final is always very special because it's the last before the big final.
"Especially in my situation. I was very excited about the possibility of being in another grand slam final. I knew I had to be really careful. I did my job perfectly well."
Henin insisted there would be not mental let-up against Williams.
"I'm fresh mentally and emotionally. Even if it took me a lot of energy in the last few weeks to come back and play my first matches and face all of this again," she said.
"I didn't really know what to expect. I wouldn't be honest if I said I don't want to win this tournament now that I'm in the final.
"It's the last (match) for this tournament, so I'm gonna give everything, of course."
(Editing by Alastair Himmer)