I don't see what they'd do. They went so far as to conduct iconoclasm on their own idols, after all. As a religion, Zoroastrianism was effectively reformed - it was just bad luck that immediately after it saved itself from internal conversion, Zoroastrianism was nearly wiped out by the conquering Arabs and their successful conversion incentives.
Zoroastrian proselytizing is indeed very possible, and I think they'd go to Central Asia, where a Zoroastrian community already existed.
Oh, so no Islam definitely means strong Zoroastrianism then. Holy wars could take a very interesting turn....
And Central Asia? If they built from there, they might convert some of the steppe nomads, and if they expanded from there--Zoroastrian Russia! Also a possibility of expansion into Afghanistan and farther into the subcontinent.