This depends on the current server state: zombies that are in a frozen or slowed-down state do not exhibit this behaviour, presumably because they're broken. Zombies working 'properly' (responsive to player and moving quickly) are a precondition of reproducing this, so:

1. Be on server with functioning zombies
2. Position self near corner of a large building in built-up area
3. Aggro a zombie at e.g. 50m from player location by standing in zombie line of sight
4. Sprint away from zombie around corner of nearby building, breaking line of sight
5. Break line of sight with the corner of the building, before the aggo'd zombie turns the corner. Player is now hidden from zombie by two walls/corners
6. Stand still and silent, providing no sensory alerts to the pursuing zombie
7. Zombie will magically guess correct direction to run, and approach player around the second corner.
8. Extra hidden: after rounding the second corner, quickly hide yourself behind a door before the zombie appears. Zombie will now guess the correct direction to run, and wait outside your door.
9. Zombie knows your position when it should not.

There seemed to be at least one point, in early beta, when zombies were not psychic and did seem to pursue players in a believable way. E.g. I led a zombie to the door of a house, closed the door while zombie was outside, snuck out the back door and watched the zombie searching around the front for me. Has there maybe been a reversion of zombie pursuit AI in the meantime?