Why don't they use zener diodes in high frequencies?
In reverse biased mode, which is how you would normally use a zener, the capacitance is tens to hundreds of picofarads. This could be enough to attenuate your signal significantly, depending on the frequency and source impedance.
Zener diodes aren't typically used in a signal path. You won't find them easily in lower frequency paths either. They're used mostly to control DC voltages.