Correct: you want to tie the zener to the ground of the sensor circuit you are trying to protect. What you are trying to do is keep high voltages off of the sensitive circuits inside the DAC. By putting the zener in shunt to the circuit ground, the current surge (that would create the high voltage) is directed to ground through the diode, instead of encountering the high-impedance of the DAC and generating a large voltage potential (small I * big R = moderate/big V).
Even in a battery-operated system, you still have some finite resistance between the sensor circuit ground and the sensed-circuit ground (unless you are in an absolute vacuum, suspended in freepsace). There will ALWAYS be a ground return path in the real-world, even if it's a super-high reistance (plastic circuit case, wodden table, dirt... for example).