But with what Ziegler has been through to get to where he is, not much flusters him.
He has had plenty of chances over the years to give up the dream and get on with real life, but being released in his first Spring Training didn't slow him down.
Being told by the A's, when he was in the Minor Leagues, that he should become a submarine pitcher and move into the bullpen -- even though he had led the Class A California League in strikeouts the year before and finished second in the Double-A Texas League in ERA that year -- wasn't a deterrent.
Even a line drive that struck his right temple, splitting open his head and sending him to the intensive care unit for six days, wasn't enough to scare him away.
"I was going to keep going until the game pushed me out," he said. "That was my mindset."
And it still is, even at the age of 36 and in his ninth big league season. He has made 60 or more appearances in each of the previous seven years. He has an ERA of 2.51 through 30 appearances this season and a 2.47 ERA for his career.
So he puts that "blown save" from Thursday behind him.
"Obviously, it wasn't how I drew it up, for sure," he said.
But then it wasn't one of those textbook situations, either. He got the call with the D-backs holding a 6-5 lead with one out in the eighth, runners on first and third, and the heart of the Rockies order coming to the plate.
First pitch, DJ LeMahieu put down a game-tying squeeze bunt.
"We talked about being aware of the bunt," Ziegler said. "It was just a perfect bunt."
And from Ziegler and the D-backs' standpoint, there was a perfect ending.
After walking Nolan Arenado to load the bases, Ziegler struck out Carlos Gonzalez and Trevor Story, both swinging at 1-2 pitches. The D-backs scored in the top of the ninth, and Ziegler retired the Rockies in order in the bottom of the inning for the victory.
That is really Ziegler's nearly 14 years in pro baseball in a nutshell.
A 31st-round Draft choice of the A's after his junior year at Missouri State in 2002, he returned to school and signed as a senior with the Phillies, who took him in the 20th round in 2003. A college senior and drafted that late, it's not like he had much leverage, but he figured at least he was getting a chance.
Not much of a chance. He got into three games, allowing one run in six innings, at Rookie-level Batavia that summer, and during the first week of Spring Training the next March he was released.
He went to the independent team in the Chicago suburb of Schaumburg, was 3-0 with a 1.88 ERA in four starts, and the A's came calling again. This time, Ziegler signed. They sent him to High A Modesto, and he went 9-2 and found himself starting in the Cal League playoffs.
That's when the line drive caught him on the right temple, and he wound up in the ICU.
"I was at risk for seizures and hemorrhaging," he said. "They wanted me to keep my heart rate down, so I just sat around and played a lot of video games and got out of shape."
When given medical clearance, he was told that even with the fracture healed if he were hit in the exact same spot, "it would be like a completely new injury." That provided him the peace of mind to continue to pursue the dream.
"At that point, I hadn't even gotten out of A ball yet," he said. "I had some success at A ball. I knew there was more there for me."
And he wasn't afraid.
"The next Spring Training was the first time I was back on the mound facing hitters, and I had a couple hard-hit line drives right up the middle," he said. "I was OK. I handled that. I've been hit since then. J.D. Martinez got me in the rib cage two years ago. I've been hit in the thigh a couple times."
Ziegler even had a momentary scare two winters later. After working a session with a youth camp, he was in his offseason throwing routine.
"One of the campers was still there," he said. "We were goofing around. When the ball was thrown to me, he tried to jump in front of me and catch it, and it deflected off the end of his glove and hit me square in the forehead. It left me this dent right [in the middle of the forehead] that is permanent. I didn't even get admitted to the hospital.
"First one was right in the temple. That was scarier and almost life-threatening. The second one was more just like an annoyance and bad headache."
And he wasn't going to be sidetracked from that big league ambition. He may have been an afterthought at Draft time, but someone had opened the door.
"That was probably part of what drove me," he said. "I didn't have security. Now that I had an opportunity, I wanted to make sure I gave it everything I got. I had the blessing of my family."
And that drive is as strong today as ever.
"Once I got here, I didn't sit down and enjoy it like, 'Oh my gosh, I'm in the big leagues.' It was, 'How do I stay here? What do I have to do to not get sent back down?' Once I had gotten that little taste of it, I didn't want to go back."
And he hasn't.
It hasn't necessarily been the route he envisioned. He was initially hesitant when Ron Romanick, the A's Minor League pitching coordinator, approached him in the spring of 2007 with the suggestion of adopting a submarine style.
"It was, 'Do you think you can pick this up?'" Ziegler said. "It never occurred to me that I was going to be moved to the bullpen. My first thought was, 'How am I going to be able to do this for seven innings?'
"That is why I was resistant to it at first. Then they said they were going to move me to the bullpen, and my first instinct was, 'Why not try me overhand in the bullpen?' They said they thought it was 50-50 I could get to the big leagues throwing overhand, but if I made the switch and took to it, then I could fast track to the big leagues and it would help me stay longer. That was the first time anyone legitimately said, 'We think you can pitch in the big leagues, so I was like, 'Let's do it.'"
They were right.
And Ziegler has done it.
Tracy Ringolsby is a national columnist for MLB.com.