"I was looking at the scoreboard when I was down two sets to love. I was like, 'I cannot believe it. I'm playing in a semifinal where I'm supposed to be the favorite and I'm down two sets to love and I have no chance'. I'm playing that bad and I knew I had to come up with better tennis. I knew I had to be more stable," Zverev said.
Tuesday's stage winner Sam Bennett, who originally finished third, was promoted to second after Peter Sagan was relegated to last and punished for 13 sprint points for swerving from his line and blocking the late surge of Wout van Aert.
Azarenka will play Japanese star Osaka in the women's final. In the other semifinal, Osaka overpowered American 28th seed Jennifer Brady 7-6 (7-1), 3-6, 6-3 to reach her second US Open final in three years.
Kicking off on Saturday, the two-day event also included a 5km run, a 1km run, and a 0.2 km children's run.
Castagne opened the scoring with a 56th minute header and Vardy scored in the 74th and 84th minutes with both goals coming from the penalty spot - the first after he had been pulled back in the West Brom area.
Koeman will be keeping his fingers crossed players such as Ousmane Dembele and Antoine Griezmann can up their games, while Francisco Trincao looks an interesting addition in attack. However, the hopes of many fans will now rest on the young shoulders of Riqui Puig and Ansu Fati, who looks odds on to become the new hero of the Camp Nou despite being just 17 years old.
Henan Jianye ranked at the bottom among the eight teams in group A with only one win and three draws after 10 rounds.
The Bayern defeat led to new elections for club President being called for March, Ronaldo Koeman replacing Quique Setien as coach, the start of a mass dressing room clear-out and Leo Messi saying he wanted to leave.
Granada only had two chances all game, but Athletic's problem in turning possession into chances continues from last season.
"I was super close to being a grand slam champion. I was a few games away, maybe a few points away. For me what upset me the most is not the third set or something like that, it's the fifth set. I had a lot of chances in the fifth set and didn't use them," said a disappointed Zverev, who was contesting his first career major final.
It's Osaka's second US Open title and third Grand Slam title after her victories at the 2018 US Open and 2019 Australian Open.