The engine has a few memory pools that are a fixed size and memory is allocated from them. Z_Malloc is from the ‘zone’ memory pool. This message means it ran out of available memory.
You can increase the amount of zone memory to solve the issue. On the command line or Windows shortcut add +set com_zoneMegs 128 (or some other value) to increase the zone memory pool size. It must be set at start up and is not loaded from the config file.