The 'Total Siyapaa' actor posted a picture of himself from the film's set on micro-blogging site Twitter.
"At my set as director... This one is a short film. Loving the night shoot in a land far far away," he wrote.
The details of the film has been kept under wraps.
As an actor, Zafar would be seen next in Shaad Ali' 'Kill Dil' that also stars Parineeti Chopra, Ranveer Singh and Govinda.
Zafar, 34, who was mostly known for his singing prowess back home in Pakistan, began his acting career with Bollywood film 'Tere Bin Laden'.