Egyptian striker Mido was included in West Ham's starting line up for the second successive game, having featured in the 4-1 defeat by Chelsea last week.
He partnered Mexican striker Guillermo Franco upfront but neither was able to break down Arsenal's defense as the Gunners claimed a 2-0 win despite playing with ten men for more than half the match after Thomas Vermaelen was sent off.
"In the last few weeks, Carlton hasn't been training very well. It was not wise to play him," Zola said on West Ham's official website.
Cole suffered a knee injury in November last year and was set for a lengthy spell on the sidelines but he returned earlier than expected.
However, he recently admitted he was still short of match fitness.
"Like Scott Parker who felt tightness in his muscles, it would have been silly to consider playing him 90 minutes today and 90 minutes on Tuesday," Zola added.
"So that is the reason why we decided to go for Mido and Franco – and the played a very good game in the first half. With and without the ball they were excellent."
Cole was introduced in the second half though, replacing Mido in the 75th minute.
Mido joined West Ham in January on loan until the end of the season but he is yet to score his maiden goal for the Hammers.
He spent the first half of the season on loan at Egyptian side Zamalek, where he scored just one goal.