Mainly because I'm finding the latency from ActiveMQ is starting to affect my overall system latency. RabbitMQ was the next broker on my list to test, but ZMQ makes more sense (if you don't mind writing the broker part).
Background; I'm currently running a system which at peak runs with about 15 million messages per hour using ActiveMQ, with several producers and consumers on the same topic. Apart from speed, not had any issues with it.