Better provide the full quote from the manual:

Making a Clean Exit
Classy programmers share the same motto as classy hit men: always clean-up when you finish the job. When you use ØMQ in a language like Python, stuff gets automatically freed for you. But when using C, you have to carefully free objects when you’ re finished with them or else you get memory leaks, unstable applications, and generally bad karma.
Memory leaks are one thing, but ØMQ is quite finicky about how you exit an application. The reasons are technical and painful, but the upshot is that if you leave any sockets open, the zmq_ctx_destroy() function will hang forever. And even if you close all sockets, zmq_ctx_destroy() will by default wait forever if there are pending connects or sends unless you set the LINGER to zero on those sockets before closing them.
The ØMQ objects we need to worry about are messages, sockets, and contexts. Luckily it’ s quite simple, at least in simple programs:
• Use zmq_send() and zmq_recv() when you can, it avoids the need to work with zmq_msg_t objects.
• If you do use zmq_msg_recv(), always release the received message as soon as you’ re done with it, by calling zmq_msg_close().
• If you are opening and closing a lot of sockets, that’ s probably a sign that you need to redesign your application. In some cases socket handles won’ t be freed until you destroy the context.
• When you exit the program, close your sockets and then call zmq_ctx_destroy(). This destroys the context. 


Programs using øMQ library does not react properly on a Ctrl-C.

To quit they have to be killed.

I suspect that øMq is replacing the standard handler set by SmartEiffel runtime