I don't think unicode symbols are supported on the command-line, which is perhaps one reason why it doesn't work.
The main problem, though, is that unicode isn't supported in zipped file names. It's a limitation of the zip file format. 7-zip should manage to zip the file, but replaces the Euro symbol with a question mark. (Since this is a wildcard, it then won't extract in Windows unless you give it another name).
If you want to add the file to a zip archive, you'll have to rename it. Otherwise, I think 7-Zip's own "7z" archive format allows unicode names.
Nifty at
Oh .. I see. I wasn't aware of the fact that the ZIP format has it's limitations and thought it was some kind of flaw in KZIP.