Let them get wet. The two most probable outcomes are :
1. They get wet, find it unpleasant and remember to zip up thereafter.
2. They get wet, decide its not an issue and continue unzipped.
In case 2, what are the downsides? You have to dry their clothes when they get home. Surely that's not a big deal. And sooner or later they will get tired of being wet. Other downsides? They get a chill. That's not very likely and children generally have good immune systems. And it should be enough to discourage further unzipping.
Problem solved. The thing is, we know we learn from our mistakes, and the smart people learn from the mistakes of others, but children generally haven't acquired that skill. (I know plenty of adults who have the same restriction.) Let them make the mistake. After while they'll realise it makes some sense to listen to some adults.