The German world number four was defeated by Italy's Lorenzo Musetti 7-5, 7-5 in the quarter-finals at Roland Garros.
As the Italian goes on to face either top seed Novak Djokovic or Stefanos Tsitsipas for a place in the gold medal match, Zverev was off to consult his doctors.
"I didn't feel good the whole week and the second round I felt horrible on the court after a set. Today I felt horrible by the end of the first set," said Zverev.
"It's upsetting. It's not how I physically want to be. I always took big pride in the fact that I thought I was one of the strongest physical players out there.
"It definitely was not the case this week and I have to see. I'm gonna go back home and do some blood tests and see if everything is OK. And if everything is OK, then take some rest and hopefully get back in good shape."
Defeat capped a miserable return to Paris for Zverev, who reached the French Open final at Roland Garros in June.
He went into Thursday's match less than 18 hours after completing his last-16 win against Alexei Popyrin and was angry that he was scheduled as the second match on Court Suzanne Lenglen in the early afternoon.
"I'm so angry, I can't even tell you. The scheduling is a disgrace," he told German daily Bild.
However, he accepted that Wimbledon semi-finalist Musetti had deserved his win, becoming the first Italian man to reach an Olympic semi-final since tennis returned to the Games at Seoul in 1988.
"Lorenzo was much better than me today, in all aspects of the game," said Zverev.
"It is upsetting when you know the Olympic Games is once every four years and that you're not 100 percent."
Zverev backed Djokovic to go on and win the final on Sunday and add a first Olympic gold medal to his collection of 24 Grand Slam titles.
"Maybe Novak deserves it the most, because of the career he had. I beat him last time in the semi-finals (in Tokyo) so I wish him nothing but the best."
Musetti said he had played one of his best matches to see off Zverev.
"I played probably my best level out there, probably one of my best matches of my career so far," said the Italian.
Musetti was playing and losing the Umag final in Croatia on Saturday and only arrived at Roland Garros on Sunday morning, a couple of hours before his opening win over Gael Monfils.
"I would love to go to the final. I don't want to think about bronze or third or fourth place because it's not the right spirit to have in such an important match as the one tomorrow," he said.
