You can usually just use sudo make uninstallit if the package developer has taken care of creating the delete target. This is probably not the case for zeromq since you are asking (have not tried).
To avoid such problems, one way is to use checkinstallinstead make installwhen possible. It will create and install the deb file, which can be removed with apt.
make clean Used to clean temporary files before creating them, and not to delete them.
In your situation, all you can do, I'm afraid, is to manually delete the files installed by zeromq.
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