get all dates in the current month
You can create a dynamic table of dates for the current month

SELECT date_field
FROM
(
    SELECT
        MAKEDATE(YEAR(NOW()),1) +
        INTERVAL (MONTH(NOW())-1) MONTH +
        INTERVAL daynum DAY date_field
    FROM
    (
        SELECT t*10+u daynum
        FROM
            (SELECT 0 t UNION SELECT 1 UNION SELECT 2 UNION SELECT 3) A,
            (SELECT 0 u UNION SELECT 1 UNION SELECT 2 UNION SELECT 3
            UNION SELECT 4 UNION SELECT 5 UNION SELECT 6 UNION SELECT 7
            UNION SELECT 8 UNION SELECT 9) B
        ORDER BY daynum
    ) AA
) AAA
WHERE MONTH(date_field) = MONTH(NOW());


NOTE: If you cut-and-paste the above query as is, it will generate the whole month for you

You then LEFT JOIN this to your original query

SELECT
    AAA.date_field,
    IFNULL(BBB.val,0) val
FROM
(
    SELECT date_field
    FROM
    (
        SELECT MAKEDATE(YEAR(NOW()),1) +
        INTERVAL (MONTH(NOW())-1) MONTH +
        INTERVAL daynum DAY date_field
        FROM
        (
            SELECT t*10+u daynum FROM
            (SELECT 0 t UNION SELECT 1 UNION SELECT 2 UNION SELECT 3) A,
            (SELECT 0 u UNION SELECT 1 UNION SELECT 2 UNION SELECT 3
            UNION SELECT 4 UNION SELECT 5 UNION SELECT 6 UNION SELECT 7
            UNION SELECT 8 UNION SELECT 9) B ORDER BY daynum
        ) AA
    ) AA WHERE MONTH(date_field) = MONTH(NOW())
) AAA LEFT JOIN (SELECT date_field,val FROM MY_TABLE) BBB
USING (date_field);


Give it a Try !!!