Branimir Hrgota struck a second-half brace for the Bundesliga side, who had gone ahead thanks to Patrick Herrmann's 31st-minute goal.
It saw Monchengladbach finish top of Group A, while Zurich ended up third after the away loss.
Favre paid tribute to his team, but said the three-goal margin of victory was unfair on the visitors.
"We deserved the victory. It wasn't as easy as the 3-0 scoreline might suggest," he told a news conference.
"But we're leaders of our group, which wasn't easy, so I have to congratulate my team.
"Of course it has always been tight. Against Villarreal, we had a 1-1 and a 2-2 draw, in Zurich it was 1-1. In Limassol [against Apollon] it was especially tough as well.
"We are first, we took the next step and we've qualified for the round of 32."
The draw for the Europa League will be made on Monday, with Monchengladbach potentially facing Liverpool or Roma.
Herrmann said it would be an amazing experience to face one of Europe's giants.
"That's tough to say, we have to wait until there will be the draw," he said.
"Of course it would be a huge experience for us, the players, to play in Liverpool or against AS Roma. But we'll take what's coming."
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