You could just create a file anywhere and put the function in there. The just include it like you would any other files.
Or create a library called Utils and put your custom functions there as static and call them using:
Utils::myFunction();
Contrary to cake zf does not enforce much anything. You can leverage the framework to do whatever you want.
BTW $this is just a pointer to the current class and when you use $this->myFunction(); it's because that function is a member of the current class (or its parent).