Zarate was a late substitute in West Ham's 2-2 draw with the Black Cats last weekend, and he found it difficult to break down the North East side.
The Argentine striker felt that Sunderland were well drilled, but admits that his side should have claimed all three points at the Stadium of Light.
"All the team is doing well and we’re high up the league table," he said. "I think we could have won the last match against Sunderland, but they defended well.
"It was a good point for us really after coming back."
West Ham were forced to hit back from 2-0 down against Sunderland to claim a point, but there is still a feeling that they should have won the match.
The Hammers started slowly, but they largely dominated once they settled, and created enough chances to have taken the three points.
Sunderland's defence on the day was resolute, though, and the Wearsiders will be pleased to see their backline complemented.
The Black Cats have leaked goals throughout the 2015/16 campaign, and they will be delighted to see an improvement in that area recognised by an opposition player.