VTune Amplifier XE usually is designed to profile target process, which may call user execute and libraries.
If zeroMQ works in distributed mode across multiple processes, you may use VTune to profile system - it covers all active modules (includes zeroMQ library). So you can use system profile with VTune, for example:
amplxe-cl -collect advanced-hotspots -duration 120
BTW, please build your zeroMQ with symbol info, so hot functions in hot modules will be displayed in report.