DataFrame.to_pickle() fails for .zip format on MacOS and pandas 0.20.3
#### Code Sample, a copy-pastable example if possible

```python
import pandas as pd
import numpy as np
df = pd.DataFrame(np.random.randn(3, 4), index=['A', 'B', 'C'])
df.to_pickle('out.zip')
#pd.read_pickle('out.zip')
```
#### Problem description
The below exception occurs. I do have writing permissions in the working directory. The code was working for pandas 0.19.0.

No problems observed for _bz2_ and _gzip_ compression (_xz_ I haven't tested).

```
  File "/Library/Frameworks/Python.framework/Versions/2.7/lib/python2.7/site-packages/pandas/core/generic.py", line 1378, in to_pickle
    df.to_pickle('tmp.zip')
  File "/Library/Frameworks/Python.framework/Versions/2.7/lib/python2.7/site-packages/pandas/io/pickle.py", line 27, in to_pickle
    is_text=False)
  File "/Library/Frameworks/Python.framework/Versions/2.7/lib/python2.7/site-packages/pandas/io/common.py", line 352, in _get_handle
    zip_file = zipfile.ZipFile(path_or_buf)
  File "/Library/Frameworks/Python.framework/Versions/2.7/lib/python2.7/zipfile.py", line 756, in __init__
    self.fp = open(file, modeDict[mode])
IOError: [Errno 2] No such file or directory: 'out.zip'
```
#### Expected Output
A zip file that one can re-read with `pandas.read_pickle()`.

#### Output of ``pd.show_versions()``

<details>

INSTALLED VERSIONS
------------------
commit: None
python: 2.7.12.final.0
python-bits: 64
OS: Darwin
OS-release: 15.6.0
machine: x86_64
processor: i386
byteorder: little
LC_ALL: None
LANG: None
LOCALE: None.None

pandas: 0.20.3
pytest: None
pip: 9.0.1
setuptools: 36.2.7
Cython: 0.26
numpy: 1.14.0.dev0+029863e
scipy: 0.18.1
xarray: None
IPython: 5.4.1
sphinx: None
patsy: None
dateutil: 2.6.1
pytz: 2017.2
blosc: None
bottleneck: None
tables: None
numexpr: None
feather: None
matplotlib: 2.0.2
openpyxl: None
xlrd: None
xlwt: None
xlsxwriter: None
lxml: None
bs4: None
html5lib: 0.999999999
sqlalchemy: None
pymysql: None
psycopg2: None
jinja2: 2.9.6
s3fs: None
pandas_gbq: None
pandas_datareader: None
</details>
