Those would both work, with slightly different meanings.
jemandem zuhören is to listen as in to try (actively) to hear what they are saying.
auf jemanden hören is to listen to someone with the intention of doing what they ask you to.
For example, if a child runs out onto the street and gets hit by a car even though the mother had told the child not to, she might ask, Warum hast du nicht auf mich gehört? = Why did you not listen to me? = Why did you not do what I told you?