Did you correctly alter the MIME type to be a zip? Does the backend return a valid ZIP file? Here's an example implementation using FileSaver:

this.http.get('/api/download-zip', { responseType: 'arraybuffer' })
  .subscribe((data: ArrayBuffer) => {
  // Create blob of type zip
  const blob = new Blob([data], { type: 'application/zip' });
  // Use file-saver to prompt user to save file
  FileSaver.saveAs(blob, 'my-excels.zip');
);