on Linux systems, you need to install another system library - sudo apt install libczmq-dev. (IIRC, to get this to work on Mint, I first had to correct a dependency mismatch, had to uninstall libczmq and allow apt to install both libczmq4 and libczmq-dev, YMMV).
Mileage is definitely varying lol. I've been looking for other czmq libraries for Arch but I can't find anything else in the repos: