With no coupons to reinvest, a zero has no reinvestment-risk and its macaulay-duration exactly equals its time to maturity. That makes it the cleanest instrument for locking in a known sum on a known date, and the most violently rate-sensitive thing in the bond market.
Long zeros are a leveraged bet on falling yields without using margin. They are also punishing in a selloff, and in taxable accounts the imputed interest is usually taxed each year even though no cash arrives.
Example: a 20-year zero priced to yield 4.5% costs 1 / (1.0225)^40 = 41.0 per 100 of face. If yields fall to 3.5%, the price rises to 50.0, a gain of 22% from a one-point move in rates.
Related: treasury-strips, macaulay-duration, discount-bond, spot-rate, reinvestment-risk