HTTP is designed for a single request, single response in order. ZeroMQ messages can be sent without waiting for each messages response, thus a single socket connection can push drastically more information then a single http connection (not that you are limited to a single http connection). Connection Pooling HTTP starts bringing in a lot of overhead, but doesn't provide some of the other features ZeroMQ does (multi-honed etc) without some additional effort (load balancers on the network).

I've personally been pondering a variation of JSON-RPC that operates over a TCP socket not over the HTTP layer.