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Zucchini is an annual; itZucchini is an annual; it grows for one season. Pick any zucchs before the first freeze—even a near freeze, if they are mature. If the freeze, or deep chill, is expected to be brief and warm temperatures are expected to return, you could cover the plant to protect it from the cold. Depending on the forecast (how cold for how long), a row cover, bedsheet or the like would do. You don't want to the leaves or zucchs to be touched by the frost. Remove the cover when temps rise. Remove the zucc plant when it has finished producing or if it is killed by a frost. Make its removal part of your end-of-season garden clean up.