Electrochemical etching of pores in as-grown and doped n-type ZnSe substrates is reported. To dope the samples the as-grown semi-insulating substrates were annealed in a Zn melt containing Al impurity at concentrations ranging from 0.1 to 40 at.%. We demonstrate the growth of arrays of parallel pores with diameters ranging from several hundreds of nanometers down to 40 nm. According to the dependence of the anodic current on the applied potential, the pore growth is found to be mediated by oxide formation. LO-phonon-plasmon coupling and the emergence of the Fröhlich-type surface phonon mode are studied by Raman spectroscopy of annealed and electrochemically treated samples. The position of the Fröhlich mode is found to be identical in porous samples with different diameters of pores and skeleton wall thicknesses, in accordance with the effective medium theory when applied to porous materials with identical semiconductor skeleton relative volume concentration. The photoluminescence analysis of the prepared porous structures is indicative of effective passivation of the porous skeleton surface during anodization while Raman scattering evidences a decrease in the free carrier concentration and neutralization of impurity centers in the porous skeleton walls.