Following his retirement Zalm became active in the public sector as a non-profit director and served on several state commissions and councils on behalf of the government, and worked as a occasional mediator for coalition agreements.

In 1988 he was appointed deputy director of the Centraal Planbureau, a state institution that, among other things, calculates the financial effects of government plans.

Between 22 August 1994 and 22 July 2002, Zalm, member of the People's Party for Freedom and Democracy, was Minister of Finance in the first and second Wim Kok administrations.

During the first, short Balkenende administration, Zalm was the acting leader of the People's Party for Freedom and Democracy group in parliament.

On 30 June 2006, he succeeded Laurens Jan Brinkhorst as Minister of Economic Affairs, ad interim, with most tasks delegated to Undersecretary Karien van Gennip.

On 26 November 2006, Zalm announced in the Sunday morning talk show Buitenhof that he would step down from politics and would probably seek employment in the private sector.

Three months after his 2007 retirement from politics, Zalm went to work for DSB Bank, a company that he had criticized in his earlier role as finance minister for what he considered misleading advertising for consumer credit.

In January 2019, in an episode of the Dutch version of Who Do You Think You Are?, it became known that Zalm is related to rebel leader and pirate Pier Gerlofs Donia, through his mother's family.