The Zanzibar Marketplace is a black market venue.
The Zanzibar Marketplace is not a scam or a con, but rather an elaborate ploy to sell high value items via a silent auction. It appears in The Zanzibar Marketplace Job, and gives the episode its name.
A Zanzibar Marketplace is a one time event where a stolen piece is put up for auction. The "marketplace" springs up and disperses quickly. Only invited buyers may attend, and the item is sold via silent auction. Typically, the item is not kept at a separate location and displayed by computer (this came as a surprise to the team when it happened). The participants' closed bids are kept secret, and the buyers and the seller never meet. After the auction, the merchandise changes hands via mail once the seller receives payment.
In "The Zanzibar Marketplace Job", the mark sets up a Zanzibar Marketplace at the United States Embassy in Kiev, to sell an allegedly stolen Faberge Egg. The Leverage Consulting & Associates infiltrate the auction to verify its existence, as part of a scheme to retrieve the egg and exchange it for Maggie Collins.
When Melissa Glenn and Jessica Rieder were writing this episode, John Rogers jokingly said "This sounds like a Zanzibar Marketplace", and left the meeting. The staff then quickly researched the idea, and could not find if such a thing existed. After trying to conceive this idea from the executive producer, the next day, John informed the writers and assistants that he made the idea up.