I don't how you glue Zend Framework and Doctrine2 together but if you are using the popular Bisna glue (which is pretty cool) you can set-up more than one mapping directory in your application.ini. Take a closer look to the following ini settings:
resources.doctrine.orm.entityManagers.default.metadataDrivers.drivers.0.adapterClass = "Doctrine\ORM\Mapping\Driver\AnnotationDriver"
resources.doctrine.orm.entityManagers.default.metadataDrivers.drivers.0.mappingNamespace = "Core\Entities"
resources.doctrine.orm.entityManagers.default.metadataDrivers.drivers.0.mappingDirs[] = APPLICATION_PATH "/modules/Core/Entities"
resources.doctrine.orm.entityManagers.default.metadataDrivers.drivers.0.annotationReaderClass = "Doctrine\Common\Annotations\AnnotationReader"
resources.doctrine.orm.entityManagers.default.metadataDrivers.drivers.0.annotationReaderCache = default
resources.doctrine.orm.entityManagers.default.metadataDrivers.drivers.1.adapterClass = "Doctrine\ORM\Mapping\Driver\AnnotationDriver"
resources.doctrine.orm.entityManagers.default.metadataDrivers.drivers.1.mappingNamespace = "CMS\Entities"
resources.doctrine.orm.entityManagers.default.metadataDrivers.drivers.1.mappingDirs[] = APPLICATION_PATH "/modules/CMS/Entities"
resources.doctrine.orm.entityManagers.default.metadataDrivers.drivers.1.annotationReaderClass = "Doctrine\Common\Annotations\AnnotationReader"
resources.doctrine.orm.entityManagers.default.metadataDrivers.drivers.1.annotationReaderCache = default
Something like the above would be accomplish what you want. If want to be able to do this fully automatically I think you have to patch the Bisna\Doctrine\Container class. Which for instance looks to the modules defined check if there is a entities directory and add's this to the doctrine entity manager.
Bisna
If you don't have a clue what Bisna is, this is a small library which allows you to easily 'glue' Doctrine2 and Zend Framework 1 together.
By watching this video it should be easy for you to understand how to integrate Doctrine2.
http://www.zendcasts.com/unit-testing-doctrine-2-entities/2011/02/
Please be aware that the Bisna version used in the video only supports Doctrine 2.0 and not 2.1 in that case you should use this one: https://github.com/guilhermeblanco/ZendFramework1-Doctrine2