"Animals like this Nyala, their natural flight response comes into play and all it thinks about is running away and for this animal ... it's a horrible experience."
The zoo team were devastated and it was a completely unnecessary tragedy, he said.
Warsaw said the time had come for private fireworks to be banned.
"We do want to support people having fun, but this is best done through large-scale community fireworks events and not through private fireworks.
"From an animal-welfare perspective it's just a tragedy when things like this occur."
He wasn't aware of any animals being lost to fireworks at the zoo before, but said zoo officials would now be asking the community not to let off fireworks in their backyards or in parks near the zoo.
"It's not just for the welfare of zoo animals but for all animals in Aotearoa including pets and native wildlife."
The Nyala live in the Africa Savannah area of Wellington Zoo.
There were plenty of calls for private fireworks sales to be banned this year, including Auckland Zoo issuing a public plea to surrounding suburbs, as it caused distress for animals.
Fireworks had been fatal for animals at Auckland Zoo in the past. In the 1980s, a giraffe broke its neck in a panicked response to the noise. More recently a wallaby joey died after being ejected from its mother's pouch in a state of acute stress.
Firefighters were called to more than 50 fireworks-related blazes throughout the country on Tuesday night, with two major blazes igniting at Mt Wellington and Mt Eden.