Prepare:
sudo apt-get install libtool autoconf automake uuid-dev
sudo apt-get install python-dev
sudo apt-get install g++
sudo apt-get install python-setuptools
Check Stable Release:
http://zeromq.org/intro:get-the-software

Download:
wget http://download.zeromq.org/zeromq-4.0.5.tar.gz

Unpack:
tar -zxvf zeromq-4.0.5.tar.gz

Install:
./configure
make

make install

ldconfig

Install API for python:
easy_install pyzmq

Test:
python -c "import zmq"

Done:
Thanks !!