It does not matter WHERE you zero a scope, at very close range bullets will impact low. The distance between the center of the scope and the center of the bore is absolute, and adjusting the crosshairs in the scope will not change it. If you have iron sights, the same is true, only the distance between the sights and the center of the bore is less. It does not matter if you are zeroed for 25 yards or 250, at very close range you WILL shoot below the sights.

Interestingly enough, I have found this to be most important when shooting small, rabid animals. Here, a poorly placed shot will often result in a bite, and an unpleasant sequence of shots (as happened recently to my brother). At ranges of less than five feet, shooting has to be instinctive, as it is not possible to zero the sights, and there's insufficient time to use them anyway.

Take care, Tom