Anonymous sources earlier accused India of abducting him to secure Kulbhushan Jadhav's release, who continues to remain in Pakistani prison.
In a letter to New Delhi, Islamabad sought information about Zahir.
The case of Pakistan's missing ex-army officer
Zahir went missing in April from Lumbini in Nepal
Zahir, previously with ISI, had arrived at Lumbini from Kathmandu when he disappeared. His kin say he had been offered a job with a UN agency in Nepal at $8,500 a month. However, media reported he was on a "secret mission" of the ISI.
India denies knowledge of former Pak officer's whereabouts
India has denied knowledge of Zahir's whereabouts, but according to sources, Pakistan is certain he is in RAW's custody.
Nepal has said investigation into the case is still ongoing. Pakistan had earlier approached it.
Meanwhile, Pakistan and India are facing off at the International Court of Justice over Jadhav's detention in Islamabad.
The ICJ has stayed for now his death sentence, till it gives its final verdict.