Zero-day exploits strike fear into the heart of computer security pros. An active attack, unrecognized by antimalware software and without a ready vendor patch, is harder to deal with than your run-of-the mill security bug. You can't just run a scanner, slap on a patch, high-five your friends, and call it a day.
With zero-days, you wonder what mitigation you can apply while waiting for the vendor to release a patch. Worse, some mitigations do more damage than the exploit itself. That's why most customers don't do anything. They remain unprotected until the vendor pushes the patch.

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