Zaha, who is joining Manchester United in the summer, booked himself a farewell party at Wembley with two goals to sink Brighton. The Eagles, who had been written off as promotion contenders having staggered into the play-offs with one win in 10 matches, will now take on Watford in a fortnight for a place in the Barclays Premier League.
"We've lost that boy but he got us to a Wembley final. I believe Wilf will be a match-winner at the top, top level but he wanted to keep playing well for us and you saw that," Selhurst boss Holloway said.
"It was nice knowing everyone wrote us off and we beat a very good team today. We've come to the hardest place ever and passed a test of character. Did I doubt my lads? No. Did I doubt myself? No."
Chairman Steve Parish, who insisted Zaha be loaned back to Palace for the rest of the season after agreeing to sell in January, said: "We could have sold him earlier but he loves this club, he wants us to go up so much."
Brighton, undefeated in 11 games, were clear favourites to sink their fierce rivals on their own patch after the goalless first leg.
Seagulls manager Gus Poyet admitted the defeat left him feeling "terrible". The Uruguayan is pondering his future at the south-coast club after seeing their promotion dream go up in smoke.
"I've not been in this situation but I don't like it," he said.
"It's changed my view completely about everything I was prepared for, so we'll see now. I have always said that all the time we keep improving I am going to be at this football club and the day we hit the roof, I'm not.
"Is there something more? Right now I don't know, so I need to make sure I know there is, because if not I am not going to stay forever."