It's a bug in macOS Sierra. If you select multiple items on your Desktop and right-click to choose "Compress xx files" with no Finder window open at that time, then a new Finder window will automatically show up with the new archive.zip file you just created.
To stop that, compress files in Finder. When a new archive is created, it exactly appears in Finder. No additional Finder window will launch to show the newly zipped file.
Or, you can upgrade your Mac or choose a third-party compressor like iBoysoft MagicMenu. This compressor not only allows you to right-click to create ZIP files on Mac but also supports you in setting a password and choosing a compression level for the target file.