vanilla zeromq is a pretty bad choice for any database. zmq explicitly makes no guarantees about reliable delivery, so losing random inserts or queries here or there would be considered acceptable.
subscribers also lose the first few messages the publisher sends, unless you make sure you start the subscriber first. The publisher will make no indication of which messages are lost and which ones have actually been sent to someone:
http://zguide.zeromq.org/page:all#Getting-the-Message-Out
I would suggest building something on top of request-reply instead: it's actually possible to get build reliable delivery on that.