> zgrep --help
Usage: /bin/zgrep [OPTION]... [-e] PATTERN [FILE]...
Look for instances of PATTERN in the input FILEs, using their
uncompressed contents if they are compressed.

OPTIONs are the same as for 'grep'.

Report bugs to <bug-gzip@gnu.org>.

> zgrep -r file
/bin/zgrep: -r: option not supported


 case $option in
  (-[drRzZ] | --di* | --exc* | --inc* | --rec* | --nu*)
    printf >&2 '%s: %s: option not supported\n' "$0" "$option"
    exit 2;;

Both the man page and the help for zgrep say it supports all options that grep does, but it does not support recursion which would be very helpful.