As a typical helimagnet, ZnCr₂Se₄ possesses fascinating effects including magnetoelectric coupling, magnetostriction, negative thermal expansion, as well as possible diversity in quantum ground states. Here in this work, we investigate magnetic excitation arising from spiral spin structure in ZnCr₂Se₄ single crystal by using terahertz (THz) time domain spectroscopy (THz-TDS) under magnetic fields up to 10 T and at low temperatures. The magnetic resonance absorption is observed in a sub-THz region as the applied magnetic field is above 4 T, featuring the blue shift with magnetic field increasing. As the THz wave vector ( k ) is vertical to the external magnetic field (H), the single resonance frequency conforms well with the linear Larmor relation, corresponding to a spin structure transformation from helical to ferromagnetic state with magnetic field increasing in ZnCr₂Se₄. However, in the geometry in which both k and H are along the \langle 111\rangle direction of crystal, a well-defined resonance splitting emerges when H > 7 T. Especially, the high-frequency absorption shows pronouncedly nonlinear magnetic field dependence. It is suggested that such anisotropic spin dynamics below Néel temperature be linked with the field-driven quantum criticality unveiled in recent work.