Zune does not have bluetooth and I'm not sure if the new ones do, but here's the answerr from the owners sync site:
Does my media player have to be plugged into the USB port all the time?
If you are playing music through the USB port, the media player must be plugged into SYNC. However, if your media player supports Bluetooth Audio Streaming (A2DP) profiles, you may be able to play it through the SYNC system wirelessly, without using the USB port, if the device has been paired to SYNC.