The truth is we wanted to use ZeroMQ initially. It would have been really awesome to have all that flexibility on the client side.
The ZeroMQ documentation is fantastic as well. It inspired and helped shape some of the design choices we made.
The further along we got from design to implementation it became obvious that it would be important to "own" the socket. Generally speaking, this is exactly what ZeroMQ prevents you from doing (and rightly so, it aims to abstract all of that away).
The choice to use Go had an impact here as well. Language features like channels and the breadth of the standard library made it really easy to translate our NSQ design into working code, offsetting the benefit of ZeroMQ's abstractions.