Short answer, no, but ZeroMQ can have other advantages. Lets go straight for it, if you are on Linux and want fast data transfer, you go Shared memory. But it will not as easy as with ZeroMQ.
Because ZeroMQ is a message queue. It solves (and solves well) different problems. It is able to use IPC between C++ and Python, what can be noticeably faster than using sockets (for the same usages), and gives you a window for network features in your future developments. It is reliable and quite easy to use, with the same API in Python and C++. It is often used with Protobuf to serialize and send data, even for high troughput.
The first problem with IPC on ZeroMQ is that it lacks Windows support, because it is not a POSIX compliant system. But the biggest problem is maybe not there: ZeroMQ is slow because it embeds your message. You can enjoy the benefits of it, but it can impede performances. The best way to check this is, as always, to test it by yourself with IPC-BENCH as I am not sure the benchmark I provided in the previous link was using the IPC. The average gain with IPC against local domain TCP is not fantastic though.
As I previously said, I am quite sure Shared Memory will be the fastest, excluding the last possibility: develop your own C++ wrapper in Python. I would bet that is the fastest solution, but will require a bit of engineering to multithread if needed because both C++ and Python will run on the same process. And of course you need to adjust the current C++ code if it is already started.
And as usual, remember that optimization always happen in a context. If data transfer is only a fraction of the running time when compared to the processing you can do after, or if you can wait the 0.00001sec that using Shared memory would help you to gain, it might be worth it to go directly to ZeroMQ because it will be simpler, more scalable and more reliable.