Extreme Multi-label Learning (XMC) is a task that allocates the most relevant labels for an instance from a predefined label set. Extreme Zero-shot XMC (EZ-XMC) is a special setting of XMC wherein no supervision is provided; only the instances (raw text of the document) and the predetermined label set are given. The scenario is designed to address cold-start problems in categorization and recommendation. Traditional state-of-the-art methods extract pseudo labels from the document title or segments. These labels from the document are used to train a zero-shot bi-encoder model. The main issue with these generated labels is their misalignment with the tagging task. In this work, we propose a framework to train a small bi-encoder model via the feedback from the large language model (LLM), the bi-encoder model encodes the document and labels into embeddings for retrieval. Our approach leverages the zero-shot ability of LLM to assess the correlation between labels and the document instead of using the low-quality labels extracted from the document itself. Our method also guarantees fast inference without the involvement of LLM. The performance of our approach outperforms the SOTA methods on various datasets while retaining a similar training time for large datasets.