It’s interesting that Socrates is one often mentioned when people pose that question. The truth is with Socrates we really can’t prove that he existed. The only way we know of Socrates is from the writings of his most famous students. As for the man himself we really have basically no proof that he existed at all. Again though as in the case of the Jesus figure we have teachings attributed to him and the world is left to do what they will with them. The same is essentially true for Zeno, many of his works are referenced and referred to but we have nothing of his original works. So really, it’s quite possible those figures never did exist, and it would make really no difference.
In most cases when looking at important historical figures we would want to have multiple references. We would want to know that more than just a handful of collaborating individuals knew of this person’s existence. With most figures in history we have this available. We either have physical proof or historical record that can be collaborated to be true. Sometimes we don’t have that proof at all as is basically the case with Socrates, Zeno, and Jesus.