There are many things I like about Zend Framework. And there are times when using it is like searching for a black cat in a dark room. Seemingly simple tasks end up frittering away time looking through the documentation and source code.
Inducing a 404 response is one of these things. I didn't want to simply redirect the page, but rather, I wanted the ErrorController to handle the error just like usual.
In your action controller:
// Some "not found" condition occurs. throw new Zend_Controller_Action_Exception('Page not found.',404);
And in views/scripts/error/error.phtml:
<? if (404 == $this->exception->getCode()): ?> // Put your 404 message here. <? endif ?>