Whatever you do, do not store it on the server itself (even if you're only using one server, or in a 1+1 failover scenario). It'll put you on a dead end.
I would say, use Database+Memcache for storage/retrieval, it'll keep you out of Zend's grasp (and believe me things do break down at some point with Zend). Since you will be able to easily partition by UserID or SessionID even going with MySQL will leave things quite scalable.
(Edit: additionally, going with DB+Memcache does not bind you to a comercial party, it does not bind you to PHP either -- something you might be happy for down the road)