The Facebook chief - who is appearing before members of the US Congress in relation to the Cambridge Analytica scandal - made the confession during the second day of questioning.
Zuckerberg, 33, also revealed his company is now exploring the prospect of taking action against University of Cambridge, which is where the researcher Aleksandr Kogan, who sold personal data to Cambridge Analytica, was based.
He explained: "What we found now is that there's a whole programme associated with Cambridge University where ... there were a number of other researchers building similar apps.
"So, we do need to understand whether there was something bad going on at Cambridge University overall that will require a stronger reaction from us."
However, the academic institution has hit back at the American billionaire, questioning the suggestion that he's only recently become aware of the work.
Cambridge University said: "Our researchers have been publishing such research since 2013 in major peer-reviewed scientific journals, and these studies have been reported widely in international media.
"These have included one study in 2015 led by Dr Aleksandr Spectre (Kogan) and co-authored by two Facebook employees. We have found no evidence that University researchers are improperly gathering personal data."
Meanwhile, Zuckerberg has assured Facebook users that the data leak won't be repeated in the future.
He said: "We have a responsibility to make sure what happened with [app developer] Kogan and Cambridge Analytica doesn't happen again."