if you are using the little magnafying glass, that zooms your view but not the camera.  You would either have to use the keyboard camera movement keys or if you use the mouse on the left there are 3 groups of icons.  The top group is object manipulation.  The next group is Camera movements.  Tracking (including zoom) and a little round one that has Dolly, Pan and Bank.  Those will keyframe.

If you turn on the production frame when you use the magnafying glass you will see that nothing in relationship to the production frame changes just zooms in or out as a whole.