I understand that Apache Thrift and ZeroMQ are softwares belonging to different categories, and it is not easy to do a comparison since it is an apple to orange comparison. But
Davorin mentioned using Thrift and ZeroMQ in pair and in case you're interested in that approach checkout the Thrift codebase and look under thrift/contrib/zeromq for a demo of Thrift using ZermoMQ.