Right, I understand that ZeroMQ is used to send and receive messages, what I mean is that there's no persistency involved so the tasks will not survive a system restart.
The best you can hope is to use the Titanic Service Protocol and just throw data into some sort of disk store. I've looked into doing this, but I settled on using RabbitMQ instead for persistence. Unless you're dealing with more than 10k messages a second, it's just as easy as ZeroMQ.
After a few months of experimenting, I've come to the conclusion that some combination of ZeroMQ and RabbitMQ is likely the easiest solution currently for a combination of low-overhead distributed messaging and broker-assisted persistent messaging.