The activity light on your DSL/Cable Modem indicates activity. Depending on the equipment used by your DSL/Cable provider, your computer may be receiving broadcast messages that are transmitted throughout the Internet, or throughout your ISP. The Ethernet card on your computer automatically discards these broadcast messages if the data is not intended for your computer, so ZoneAlarm will never see them.
TCP/IP is a broadcast protocol on a network. Broadcast messages are sent to all computers that are part of a specific network. A computer's network adapter filters traffic at the hardware level. Any traffic that does not have the hardware address of your network interface card is automatically discarded. So ZoneAlarm never sees this discarded traffic.