Preheat grill to 350º to 400º (medium-high) heat. Cut zucchini lengthwise into 1/4-inch-thick slices. Brush with 2 Tbsp. olive oil. Grill zucchini, without grill lid, 2 to 3 minutes on each side or until tender.
Toss zucchini with shallots and next 6 ingredients. Serve immediately over arugula.