We broke the story ... Jones was arrested for felony vandalism after a bizarre, nude altercation with his brother at an L.A. apartment. We're told Cayleb -- a Minnesota Vikings player -- was fighting to keep him from jumping out of a hole he kicked out a 30th floor window.

Zay is finally speaking out for the first time since the incident -- on his 23rd birthday -- saying "thankful to be alive. thankful for another year. more life."

There has been an outpour of support for Jones since the arrest -- from Bills coach Sean McDermott to Johnny Manziel.

Zay won't face criminal charges from the incident after his family agreed to cover the cost for repairs ... but the league is still investigating.