The photosensitivity of the chemical bath deposited zinc selenide (ZnSe) thin film of bandgap 2.8 eV air annealed at different temperatures has been studied under sub-band gap optical illuminations of photon energies 1.77, 1.91, and 2.07 eV, respectively. The study reveals significant and systematic changes in the photocurrent even when the photon energy is restricted well below the band gap energy of the material. In addition, the photocurrent decreases more or less exponentially with the annealing temperature, although the absorption coefficients of the annealed samples in the sub-band gap region are seen to be enhanced compared to the as-deposited sample. The XRD measurements show the cubic phase of ZnSe, accompanying additionally the orthorhombic ZnSeO3 crystallites in the deposited film. The study further reveals comparatively stronger crystalline improvement of the ZnSeO3 crystals than the cubic ZnSe crystals upon annealing. The observed photosensitivity of the film is compared to that of the cadmium sulphide film deposited by a chemical bath deposition technique and found to be sharply contrasting in behavior. We attribute the unusual photosensitivity of the ZnSe film to ZnSeO3 crystallites which act simultaneously as self generators and absorbers of photoelectrons in the ZnSe crystals, without effectively contributing to the overall photoconductivity of the material.