Maharal answers that Pinchas was a Katon (a minor) at that time and therefore was not included.
Torah Temimah answers, that Hashem did not want Pinchas to be considered a Kohain at the time that he killed Zimri. Since the Gemorah [Bava Basra 160b] says that the nature of Kohanim is to be hot tempered. If Pinchas had been considered a Kohain at the time that he killed Zimri, people would have attributed the act to the fact that he was a "hot headed Kohain". Therefore Hashem waited until after the incident of Zimri, allowing everyone to see that Pinchas was a zealous individual who stood up for what was right!