ZeroMQ is not a message queue, nor is it a broker. You could build a message queue with it, but it's not really a valid comparison.
I wasn't aware it's not a broker. Thanks for clearing that up.
It's fairly trivial to build an in-memory broker with zmq, though, but you should rather consider zmq as building blocks for a message queue, or sockets on steroids.
It fills a need for certain applications, and it is very good at what it does.