Zen Mode is an ability that is unique to special Darmanitan. Such Darmanitan will turn into the Zen Mode Form when their health is below 50%. In this form, Darmanitan retracts it's limbs and turns blue (resembling the daruma dolls they're named after), and also has a major stat change, causing it to shift from a physical based Pokémon to a special based Pokémon, as well as gaining the psychic type.
Only Darmanitan from the Dream World or the six from a special temple in the game can have this ability. If you evolved it from Darumaka, then it can't have this ability.