net-libs/zeromq lists "sys-libs/libunwind" in its RDEPEND and "sys-apps/util-linux" in its DEPEND. Both packages are Linux-only; just removing them from the dependencies has zeromq-4.2.2 compile and install fine on my Mac -- no other changes required. I suggest removing net-libs/zeromq and sys-libs/libunwind from the dependencies of zeromq for Mac OS users.
The OSX toolchain comes with libunwind, it's indeed unnecessary.
I made the deps conditional for Darwin.