Tab autocompletion of accented characters in zsh doesn't work

I am not able to display properly autocompleted filenames that contain accented characters in the zsh shell, whereas in bash they work with no problem at all.

Example:

1. I create a file named "cão.txt" (if you are interested that is "dog" in Portuguese)


2. I try to cat it by writing cat c<tab> that gets autocompleted to cat ca<0303>0.txt.


3. I go into bash


4. I try to do the same autocompletion with cat c<tab> and it gets into cat cão.txt ok.


5. I go back to zsh


6. Now the same exact autocompletion works with no problem.

My locale is like this:

LC_COLLATE="en_US.UTF-8"
LC_CTYPE="en_US.UTF-8"
LC_MESSAGES="en_US.UTF-8"
LC_MONETARY="en_US.UTF-8"
LC_NUMERIC="en_US.UTF-8"
LC_TIME="en_US.UTF-8"
LC_ALL="en_US.UTF-8"

and the LANG variable I tried it empty, with "en_US.UTF-8" and also "pt_PT.UTF-8". Also, I double-checked the locale settings are exactly the same before and after going to bash. It also works the same way in both the default terminal OSX application and iTerm2.

How can I make zsh work the same like bash? Any idea what is happening?