Zenmap identifies risks, threats, and vulnerabilities while Nessus uses a vulnerability scan to assess where loop holes are, and where the system is fragile. These two software's results can be compared. Nessus also provides a way through a patch or update to repair vulnerability. So basically Zenmap spends most of it's time in the host to give information to Nessus on where the vulnerabilities are to be further analyzed and find solutions to the problem.
