Zubkov, watched by Russian Prime Minister Dmitry Medvedev, held on to his slim overnight lead to take gold by nine hundredths of a second ahead of Latvia's Oskars Melbardis.
American Steve Holcomb, the 2010 champion, won bronze, three hundredths of a second ahead of Russian Alexander Kasjanov in the RUS-2 sled. Holcomb also secured bronze in the two-man.
"We did the impossible," Zubkov said.
"We proved that we are the best in the two-man bobsleigh and the four-man bobsleigh."
Zubkov's double success helped Russia top the medals table with 13 golds.
"The country believed in us," he said. "But nobody believed that Russia would even be in the top three in total medals but we have won."
Amid a festive atmosphere at the Sanki Sliding Centre and chants of 'MOLODTSY' ("well done") Zubkov hugged his crew of Alexey Negodaylo, Dmitry Trunenkov and Alexey Voevoda, the Sochi native who he won two-man gold with on Monday.
The last man to win the Games bobsleigh double was now-retired German Andre Lange in Turin in 2006.
The 39-year-old, who along with Voevoda won four-man silver in 2006, went into the final two runs with just a 0.04 advantage over Melbardis, who had showed his liking for the track by winning last year's test event.
With the advantage of first use of the ice on Sunday, Zubkov clocked the quickest time of 55.02 to extend his lead to 0.17 and although Melbardis kept up the pressure, Zubkov again found the right lines to win in a combined time of 3:40.60.
Zubkov becomes only the second pilot to win the four-man event on home ice, after American William Fiske at the Lake Placid 1932 Winter Games.
Melbardis took satisfaction from winning a first Olympic bobsleigh medal for Latvia, and receiving a congratulatory phone call from his country's president Andris Berzins.
"He has invited us to visit him when we get back to Latvia," he said. "This medal means a lot for me. This season was very difficult."
While the Russians and Latvians celebrated, Germany - who swept the luge events - were glum after failing to win a medal in bobsleigh at a Games for the first time since missing out in 1964.
World champion Maximilian Arndt began the day in bronze position but faded to sixth, one place ahead of compatriot Thomas Florschuetz.
"We have messed it up ourselves," was Arndt's blunt assessment.