A Citation pilot reported a rapid loss of pressurization while descending to 35;000 ft.

Narrative

The following event occurred on a 14 CFR Part 91 IFR flight from ZZZ1 to ZZZ. We were cruising along at 40000 ft. with no issues. We were given a step down descent to 35000 ft. and were running the descent checklist. When the windshield bleed valves were opened we experienced a rapid cabin depressurization. Our response was to complete the memory items. Don Oxygen Masks and establish crew communication and start an descent. We reported the descent and reported [the priority] situation. The descent to 14;000 ft. occurred without further incident. At 14;000 ft. we were able to assess the situation with greater clarity. The aircraft did not display any other dangerous situations and we decided that we could continue safely to our planned destination airport of ZZZ. We requested 10;000 ft. and proceeded to ZZZ. At the appropriate phase of flight we then requested an RNAV XX approach into ZZZ; we followed ATC instructions to the final approach course. When the airport was in sight and the weather minimums supported a VMC descent and landing we cancelled; IFR and landed safely. We then called ATC and let them know that we had arrived safely.