RabbitMQ is probably doing persistence on those messages. I think you need to set the message priority or another option in messages to not do persistence. Performance will improve 10x then. You should expect at least 100K messages/second through an AMQP broker. In OpenAMQ we got performance up to 300K messages/second.
AMQP was designed for speed (e.g. it does not unpack messages in order to route them) but ZeroMQ is simply better designed in key ways. E.g. it removes a hop by connecting nodes without a broker; it does better asynchronous I/O than any of the AMQP client stacks; it does more aggressive message batching. Perhaps 60% of the time spent building ZeroMQ went into performance tuning. It was very hard work. It’s not faster by accident.
One thing I’d like to do, but am too busy, is to recreate an AMQP-like broker on top of ZeroMQ. There is a first layer here: http://rfc.zeromq.org/spec:15. The whole stack would work somewhat like RestMS, with transport and semantics separated into two layers. It would provide much the same functionality as AMQP/0.9.1 (and be semantically interoperable) but significantly faster.