The detection of zero-day attacks and vulnerabilities is a challenging problem. It is of utmost importance for network administrators to identify them with high accuracy. The higher the accuracy is, the more robust the defense mechanism will be. In an ideal scenario (i.e., 100% accuracy) the system can detect zero-day malware without being concerned about mistakenly tagging benign files as malware or enabling disruptive malicious code running as none-malicious ones. This paper investigates different machine learning algorithms to find out how well they can detect zero-day malware. Through the examination of 34 machine/deep learning classifiers, we found that the random forest classifier offered the best accuracy. The paper poses several research questions regarding the performance of machine and deep learning algorithms when detecting zero-day malware with zero rates for false positive and false negative.