It should give about 4.4V out (0.7V Vbe drop across the transistor), how much current are you trying to draw off it?, and what is the voltage on the base?.
You need to add the Vbe of the transistor to the zener voltage.
If you want 5 volts output the zener voltage should be
5 + 0,7 =5,7 volts. The closest practical value would be 5,6 volts.
Note that near saturation a transistor needs ( a lot ) more base
current.
Probably a transistor with a very low HFE which draws too much
base current which makes the zener voltage collapse.
Check also the 9 volts if it's a battery.
There are too many low-dropout regulators out there offered by Maxim and Linear Technology to justify screwing around with reinventing the wheel. In fact, the bulk of Linear Technology's advertising is geared toward battery applications where "efficiency" is the key word.