At present, you need to either encrypt the block devices beneath ZFS via LUKS or the filesystem on top of ZFS via ecryptfs. There are some guides on how to do this for each distribution.

There is an open issue for integrating encryption into ZoL itself:

https://github.com/zfsonlinux/zfs/issues/494

This will likely be added to ZoL in the future, but no one is actively working on it at this time.