Cambria Math seems a quite logical choice for a mathematical operator… But Cambria Math can easily be changed to Arial Unicode MS for that single character if the font looks matter so much. As I said, would anybody notice that the slashed zero belongs to Arial Unicode MS rather than to Arial? Would it matter at all?
Note that the following fonts also include the slashed zero as a glyph. There is plenty to choose from outside Arial:
Segoe UI, Segoe UI Symbol, Amiri Quran, Cambria, Cambria Math, Code 2000, DejaVu Sans, DejaVu Sans Condensed, Ebrima, Gadugi, Gentium Basic, Gentium Book Basic, Leelawadee UI, Libre Franklin, Linux Biolinum G, Linux Libertine G, Linux Libertine Display G, Lucida Sans Uinicode, Malgun Gothic, Microsoft JhengHei, Microsoft JhengHei UI, Microsoft Sans Serif, Microsoft YaHei, Microsquare, MingLiU-ExtB, Mriam CLM, MS Gothic, MS Mincho, OpenSymbol, SimSun, Tahoma, Yu Gothic, etc..