The 21-year-old was outclassed in Saturday night's final by Belarusian Aryna Sabalenka; unable to match the feats of Li, who won the Open in Melbourne 10 years ago.
Li also claimed the 2011 French Open title.
With Li watching on, Zheng was disappointed she couldn't mount more of a challenge against a dominant Sabalenka, who triumphed 6-3 6-2.
"Congrats to Aryna to have such a wonderful match here," Zheng said.
"It's my first final, I'm feeling a little bit pity but it is this experience for me.
"I feel right now very complicated because I could do it better, but I didn't in this match."
A disappointed Zheng said she hoped to return and go one step further at Melbourne Park. (Joel Carrett/AAP PHOTOS)
Zheng's consolation is a rise from 15th in the rankings to world No.7, a career pay day of $1.725 million and an army of new fans.
Reaching her first-ever grand slam final, topping her previous best of a quarter-final loss to Sabalenka at the US Open, Zheng said the Australian Open had been a tournament to remember.
She topped Melbourne Park's tally for aces, sending down 54 - exactly double the next best woman, which happened to be Sabalenka.
Zheng wants to do even better in the future.
"I really enjoyed to play in this Australian Open," she said.
"That was an amazing memory for me and I'm sure there's going to be more and better in the future."
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