Well, it depends... old leaves about to fall turn yellow, but newer leaves should not. The commonest causes of leaves turning yellow are
-sunburn
-spider mite attack
-inadequate water
-high ambient temperatures
-low ambient relative humidity
-dead roots unable to provide enough water to the plant.
I couldn't comment further without more information about your growing conditions, and probably photos.
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My Zigo loses its older leaves at this time of the year, at the same time as the new growth is maturing.
But I agree with ES...a photo of the whole plant would be helpful.
I agree with rbarata. It is completely normal for Zygopetalums to shed older leaves and after two years or more a bulb might be completely leafless. To be totally on the safe side, look at the base of the leaf. If it is mushy, further intervention might be necessary though I doubt it will be.