Slice a strip lengthwise from the zucchini to expose the inside of the vegetable. Discard or reserve for another use. Cut the 2 ends from the zucchini to make straight edges. Cut the zucchini lengthwise into 1/2-inch strips. If using a large zucchini, cut each of these strips in half crosswise. This won’t be necessary with small zucchini.
Brush both sides of the zucchini pieces liberally with olive oil. Season well with kosher salt and freshly ground black pepper. Lay the zucchini pieces on the grill at a 45-degree angle (for more attractive grill marks). Cook until the zucchini is very tender, but not mushy, about 3 minutes per side, moving the pieces during cooking to ensure even browning.
Remove zucchini from the grill. Set a wire cooling rack on top of a bowl to give the cooling rack extra clearance from the counter. Drape the zucchini pieces on the rack to cool. This method will stop the zucchini from steaming will cooling.
Place goat cheese in a medium bowl. Stir olives into the goat cheese.
Spread a layer of the goat cheese mixture onto one side of each zucchini piece. Gently roll each piece of zucchini. Serve.