1987 - 2007 (divorced) (3 children)
Daughter Haley Cohen (b. ~1990); sons Jared (b. ~1994), Austin (b. ~1997)
Zahn has three children with Richard Cohen, a New York City real estate developer. Cohen is Jewish and they are raising the children in his faith.
The couple was in the news in 2004 when the nest of the well-publicized red-tailed hawk Pale Male was removed from their Manhattan co-op building. Cohen, president of the co-op board, supported the removal; in 2001 Zahn had spoken approvingly of the hawk and its habit of feeding on rats and pigeons.
In April 2007, Zahn announced she was divorcing Cohen after 20 years of marriage. The news was scandalized in tabloid gossip media where it was alleged the divorce was the result of an affair Zahn was rumored to have had. However, these rumors and allegations were never substantiated beyond tabloid media accounts. That same year, Zahn filed a lawsuit against Cohen alleging he had mismanaged 20 years' worth of her career earnings. The lawsuit was dismissed by the New York state court, ruling it "is not a commercial case, rather, it is a matrimonial dispute masquerading as a commercial dispute."