Make sure to add the .props files for debug and release to your visual studio property sheets.
These are located under:
ofxZeromq\libs\zeromq\lib\vs
The property sheets will make sure that the preprocessor definition ZMQ_STATIC is set, otherwise the linker will not be able to correctly link your app to the static libzmq.lib or libzmqd.lib.
See also: http://stackoverflow.com/questions/10367678/linking-to-a-static-0mq-library-in-vs
This was compiled on the Raspberry PI using the following steps:
curl http://download.zeromq.org/zeromq-4.0.4.tar.gz -o
tar xf zeromq-4.0.4.tar.gz
cd zeromq-4.0.4
mkdir -p /tmp/build
./configure --enable-static --prefix=/tmp/build
make
make install
cd /tmp/build/lib/
ls libzmq.a