I remember we had a similar use-case. This was for collecting live statistics from a sizable Varnish Cache cluster. We wrote a in memory database to store the data. It's been chugging away for about 10 years now and last I heard the zmq traffic alone was about 3Gbps with zero issues.
We even went as far as writing a Golang version of the VCS server to better handle some of the scaling challenges. I don’t remember the exact library that we are using to call into ZeroMQ, but the CGO overhead was minimal.
IIRC it does all I/O on separate background threads which means every operation actually goes through an inter-thread queue. Which can be good and bad.