Dozens of Ukraine drones targeted Moscow overnight, hitting the Russian capital's oil refinery for the second time this week, the Reuters news agency reported.
"We don't want this war. We never did, and everyone knows it, including our partners," Zelensky said in a voice message sent to reporters via WhatsApp.
"But if Ukraine burns, your Moscow will burn," he added.
At least 10 people were killed on Monday in a Russian drone and missile attack across Ukraine that damaged the 1,000-year-old Kyiv Pechersk Lavra monastery.
Zelensky was due to attend a meeting of Ukraine's military allies in Brussels on Thursday.
He said participants would discuss supplying additional air defence systems to Ukraine through a NATO programme and plans to develop an anti-ballistic missile defence system in partnership with Kyiv's allies, Reuters reported.
Zelensky also called on Europe and the United States to increase pressure on Russia through sanctions targeting its defence and energy sectors, as well as the broader economy, to force Russian President Vladimir Putin to end the war.
"Everyone needs to put pressure on Putin: Ukrainians, all Europeans, Americans and Russians; it's time to come to your senses and put pressure on your leader," he said.
Ukraine has increasingly targeted Russian oil refineries, fuel depots and military-industrial facilities as it expands its domestically produced long-range drone and missile capabilities, according to Reuters.
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Source: Reuters, IAR, PAP