Is there a Zenburn theme for Netbeans?
Oh how I wish there was, however it is possible to change the colors manually.
Preferences > Fonts & Colors > Syntax
You can try Aloha color theme for Netbeans. It's similar to Zenburn.
UPDATE: for NetBeans 6.9 - zenburn color scheme
I had set one up manually for it, just like I did with a bunch of other editors/IDEs. Then eventually I just gave up and started using gvim for everything. Things are much easier now.
In all seriousness, when I was trying to do it for Netbeans, there seemed to be some limitations as to what you could change in the colors/syntax-highlighting. Though I don't recall specific examples offhand, there were a few things I couldn't get quite right, and it used to bother me.
If you want a color reference though, I have one on my wiki, for when I used to set up Zenburn in random editors, feel free to use it: http://wiki.steam-punk.net/zenburn