Can you describe your setup a bit more. Denon has been doing multi-zone receivers for years, and it is not something I have really heard much about.
Are you running a 5.1 audio setup, or a 7.1 or a 9.1?
In the menu settings, are you certain that your amplifier is not setup to direct audio to speakers in the room that are currently sitting on amp channels?
Do you heard audio through all the speakers from zone 2? Or just specific speakers?
Are you using decent quality analog audio cables from the CD player to the Denon?
I'm not sure there is a cure for this, as pointed out it could very well be crosstalk on the analog circuits, but I'm hoping there is a fix for this.