Because Word treats them as numbers, not "text"
Assuming they are 5-digit US ZIP codes, if you use Alt-F9 to view the
field codes and see something like
{ MERGEFIELD myzip }
type in \#00000 so it looks like
{ MERGEFIELD myzip \#00000 }
(Typically you can delete anything that looks like \*Mergeformat )
Peter Jamieson
http://tips.pjmsn.me.uk