The following instructions should work on your Raspbian distribution. Please report any problem. :)
sudo apt-get install libtool pkg-config build-essential autoconf automake
ZeroMQ builds against the Sodium library.
wget https://github.com/jedisct1/libsodium/releases/download/1.0.3/libsodium-1.0.3.tar.gz
tar -zxvf libsodium-1.0.3.tar.gz
cd libsodium-1.0.3/
./configure
make
sudo make install
wget http://download.zeromq.org/zeromq-4.1.3.tar.gz
tar -zxvf zeromq-4.1.3.tar.gz
cd zeromq-4.1.3/
./configure
make
sudo make install
sudo ldconfig
The pyzmq package requires python-dev
to compile.
sudo apt-get install python-dev
sudo pip install pyzmq