"I played for [French club] Chateauroux in the 2008-09 season and I would love to come back to Europe," said Sunzu who is now with the Democratic Republic of Congo team TP Mazembe.
"I have a dream to play in England as I prefer Chelsea and Bolton Wanderers," the defender told Romanian media on Thursday.
Zambia beat the Elephants 8-7 in a drama-filled penalty shootout in Libreville, following a 0-0 draw, to win the Nations Cup for the first time.
After the Under-20 World Cup in Canada in 2007, Sunzu impressed in trials with English side Reading but he was denied a work permit.
The 22-year-old enhanced his growing reputation by keeping Ivory Coast and Chelsea striker Didier Drogba quiet for much of Sunday's final.
"Drogba was almost invisible, it was very easy for me," said Sunzu. "I have no secret, I'm not afraid of any player or team regardless of names.
"I was very confident throughout the match. I was focused and it helped me to convert the last penalty."
Frenchman Herve Renard coached Zambia at the Nations Cup but Sunzu also credited predecessor Dario Bonetti of Italy who was sacked in October, two days after the team had qualified for the finals.
"He [Bonetti] is a great coach, he did a very good job," said the defender. "He contributed greatly to winning the cup although he wasn't with us during the tournament."
Sunzu said the players were given a unique reception in Zambia after the final.
"It was unbelievable," he said. "Such a thing has never happened before in our country.
"People marched through the streets of Lusaka to celebrate with us and we were received like heroes."
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