I can't say for ZeroMQ specifics, but generally network congestion have nothing to do with numbers of threads using the network. Networks are way slower than code executed in CPU, so if you want to saturate outbound bandwidth of a computer, you will usually need only one thread. I saw this for 100 Mbps Ethernet, this is probably true for 1 Gbps. Can't say for 10 Gbps+ solutions as I never worked with them.
Multithreading vs. multiplexing usually solves other issue. You should prefer in-thread multiplexing when the amount of threads you have depends on the amount of clients you serve. You say you already have a fixed number of threads per machine (4), so it's already pretty much perfect.
So, go with whatever fixed amount of threads you like. If it were to bring the network down, making less threads wouldn't help. If TCP isn't able to adapt, and your network has unacceptable quality of service, you'll need to limit your apps in some other way.