diff --git a/setup.py b/setup.py
index d6b303fba73..755c68b9199 100755
--- a/setup.py
+++ b/setup.py
@@ -22,6 +22,12 @@ from distutils.command.clean import clean
 from distutils.command.sdist import sdist
 # pylint: enable=E0611
 
+try:
+    import zmq
+    HAS_ZMQ = True
+except ImportError:
+    HAS_ZMQ = False
+
 # Change to salt source's directory prior to running any command
 try:
     SETUP_DIRNAME = os.path.dirname(__file__)
@@ -517,6 +523,13 @@ FREEZER_INCLUDES = [
     'email.mime.*',
 ]
 
+if HAS_ZMQ and zmq.pyzmq_version_info() >= (0, 14):
+    # We're freezing, and when freezing ZMQ needs to be installed, so this
+    # works fine
+    if 'zmq.core.*' in FREEZER_INCLUDES:
+        # For PyZMQ >= 0.14, freezing does not need 'zmq.core.*'
+        FREEZER_INCLUDES.remove('zmq.core.*')
+
 if IS_WINDOWS_PLATFORM:
     FREEZER_INCLUDES.extend([
         'win32api',