"Punishing the innocent is unjust and immoral. This completely contradicts the basic Olympic principles," he told the International Olympic Committee in Lausanne before the decision to ban Russia from the 2018 Olympic Games was announced.
"Everyone should answer for his sins."
The IOC banned Russia from the 2018 Games over state-sponsored doping, but said some Russian athletes will be allowed to compete under strict conditions.
Speaking to reporters afterwards, Zhukov did not immediately say whether Russia would take part in the games.
"We will have to discuss this decision," he said.
Officials are expected to address the issue on December 12.
The Kremlin did not release an immediate reaction.
But all eyes will be on President Vladimir Putin on Wednesday when he is scheduled to speak to his supporters during a planned event.
Putin said in October that both a blanket ban and allowing Russia to compete under a neutral flag would be "humiliation for the country."
The IOC decision sparked outrage in Russia, with many saying the country was humiliated and others suggesting to boycott the games.
Deputy speaker of Russian parliament's lower house, the State Duma, Pyotr Tolstoy said that Russia should boycott the Games altogether.
"They are humiliating the whole of Russia through the absence of its flag and anthem," he said in televised remarks.
Russian foreign ministry spokeswoman Maria Zakharova said she was with the country's athletes in spirit.
"Does it hurt? Very much," she said on Facebook.
"Will we survive? Yes."
President of the Russian Bobsleigh Federation Alexander Zubkov described the decision to ban Russia as "a punch in the stomach."
Lawmaker Irina Rodnina, who is a Soviet figure skating legend, apologised for not being able to protect Russian athletes. "How they are afraid of us," Rodnina tweeted. "Sorry guys."
Tatyana Tarasova, a prominent Russian figure skating coach, said the IOC decision was "absolutely unjust."
"This is simply the murder of our national sport," Tarasova told AFP in an interview.
The IOC announced the decision after examining evidence of state-sponsored doping over several years that reached a high-point at the Winter Olympics hosted in Sochi, Russia, in 2014.
Nations have in the past been barred from taking part in the Olympics, notably South Africa during the apartheid years, but none has ever been handed a ban over doping.
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