On the Criteria tab, use the filter ZIP begins with [zip code] instead of a filter with the equals operator

OR

On the Criteria tab, use the filter ZIP code between [Beginning value] AND [End value - 9999].

For example, for constituents with ZIP codes between 12345 and 23456 (including the +4 values), the query Criteria should read:
ZIP code between 12345 and 23456-9999

Additional Information: 
How to query on ZIP code