In the OPed code, if  $zip is not any value of the hash,  $zip_match will not be defined:

c:\@Work\Perl\monks>perl -wMstrict -le
"my $zip = '99999';
 ;;
 my %zips = ('City One' => '04321',  'City Two' => '01234');
 ;;
 my ($zip_match) = grep { $zips{$_} eq $zip } keys %zips;
 print qq{'$zip' not found} if not defined $zip_match;
"
'99999' not found
[download]

(exists will not be appropriate in this case.)

Update: The result of the grep operation (one or more matches vs. none) can also be tested directly:

c:\@Work\Perl\monks>perl -wMstrict -le
"my $zip = '01234';
 ;;
 my %zips = ('City One' => '04321',  'City Two' => '01234');
 ;;
 if (my ($zip_match) = grep { $zips{$_} eq $zip } keys %zips) {
   print qq{'$zip' located in '$zip_match'};
   }
 else {
   print qq{'$zip' not found};
   }
"
'01234' located in 'City Two'
[download]