It seems innocent enough when we are asked at the checkout register for our zip code but there is more behind that simple question. In California consumers are suing retailers over the practice of collecting zip codes at the point of sale. This violates California state law. This is permissible in Wisconsin.
When you supply the clerk with your zip code, coupled with the first and last name from your credit card transaction, they can access a lot of information on you that includes your full address, and possible other demographic data.
If you do not want to supply them with your zip code then use one from an previous address. However, you must supply your zip code at the gas pump - because that's a high risk transaction for credit card companies.