Electronic – passive component able to stabilize current (as zeners can do with voltage)

In order for the zener to "clamp" your voltage at your desired output voltage it will have to burn the excess voltage and dissipate that power. There is no way around that.

What you are trying to accomplish seems to be based on an LDO -- or a linear regulator. The biggest problems with LDO's are: 1. efficiency 2. power/heat dissipation. In many cases the current/power requirements of the load are small enough that the second one is not an issue and the first is often not an issue in non-battery powered systems. This is why LDOs are cheap and popular.

Generally speaking when you are going from such a wide range to a specific target you would use a DC/DC switching regulator in a Buck/Buck-Boost or Sepic configuration.

EDIT: I'm using LDO and Linear Regulator interchangeably here, but I really mean linear regulator. LDO is a special kind of a linear regulator.

It just looks like magic doesn't it?

If you haven't taken a course in semiconductor device physics, I suppose it does look like magic.

PN junctions are not resistors. Whereas the voltage across a resistor is proportional to the current through

\$v_R =R \cdot i_R \$

the current through a diode is approximately:

\$i_D = I_S(e^{\frac{qv_D}{kT}}-1) \$

In words, the diode current goes up exponentially with the diode voltage.

The derivation of the diode equation isn't trivial but it isn't mysterious either; it's based on well understood device physics.

For zener and avalanche diodes, the physical explanation is a bit easier to grasp. From Wiki:

Under a high reverse-bias voltage, the p-n junction's depletion region expands, leading to a high strength electric field across the junction. A sufficiently strong electric field enables tunneling of electrons from the valence to the conduction band of a semiconductor leading to a large number of free charge carriers. This sudden generation of carriers rapidly increases the reverse current and gives rise to the high slope resistance of the Zener diode.

The Zener effect is distinct from avalanche breakdown which involves minority carrier electrons in the transition region which are accelerated by the electric field to energies sufficient to free electron-hole pairs via collisions with bound electrons. Either the Zener or the avalanche effect may occur independently, or both may occur simultaneously. In general, diode junctions which break down below 5 V are caused by the Zener effect, while junctions which experience breakdown above 5 V are caused by the avalanche effect.