Cannot compile bitcoind with zmq enabled
This will happen when you try to build with ZMQ support even though the required libraries are not on your system. In this case, configure will silently turn off ZMQ support, and you should see a line like

configure: WARNING: libzmq version 4.x or greater not found, disabling

in the output. When you install the required version of the ZMQ library on your distribution (make sure to pick the DEV version to get the header files as well), it should work.