It's a TCP issue. When the other end of the connection goes away silently (power goes of, cable is cut off etc.) TCP doesn't inform ZeroMQ that the connection is broken, so ZeroMQ uses it furthe without trying to handle the error.
It's only an issue with TCP if you forget to enable keep-alive (http://www.gnugk.org/keepalive.html). Keep-alive solves this problem, and it solves other problems too, like when your network equipment decides a connection is no longer needed and disables it. Or, you can implement application-level heartbeats--whenever you send you have the chance to recognize that your peer has gone away.
