While it is still common to receive malware hidden inside zip files the overwhelming majority of this is Windows only malware which will not affect a Mac. I can also say that it is becoming increasingly common to receive scam emails with Dropbox or similar links in them and the files downloaded via such links are once again Windows malware.
While the Mail rule suggested by dialabrain should automatically move emails with zip attachments to the trash a slightly different variation on this which might be more appropriate would be to move them to the Junk folder. It is also possible on some Mail server systems to configure a rule in the mail server itself to block emails with selected types of attachments. We for example use Kerio Connect Mail server and this has this type of feature and as standard blocks .exe, .com, .bat, .dll, .vbs, .scr, .app, .sh, etc. and we could if we chose add .zip as well.