Ummm, I sorta looked at that schematic a bit late... If it really needs to supply 400mA, I sure wouldn't use a Zener. If this is going to feed Vin on an Arduino, there isn't any real reason to pre-regulate at all. I also couldn't buy off on a mains connected circuit like that without seeing the values for the components (and the whole circuit, bottom seems cut off). The usual Zener circuit would have a resistor in the positive rail between the top of C2 and the Zener's cathode.
Is there some reason to avoid a transformer? Much safer with one. A small 6.3V filament type transformer, four diodes, and an electrolytic capacitor should work well.