Obviously power's getting to zone 3 when you turn on zone 2. Try this.
While zone 2 is on, disconnect the wire from the number 3 terminal at the controller. If the valve stays on the problem is NOT the controller. Just be sure it is indeed the number three terminal. Some controllers are a tad confusing and not marked. They have a master valve terminal at the end making number 2 look like number 3. If it's clearly marked with a 3 then no worries.
Ok so the valve is still running after disconnecting number 3. Then the wires are crossed somewhere. What happens when you turn on number 3?
Also did this just happen all by itself or was someone fiddling with the wires?
Are two valves running at the same time or just one?