As other answers say, zero is purely real as well as purely imaginary. Let me give an intuitive explanation based on the graphical representation of a complex number.
In the Argand plane, the points on the real axis represent complex numbers which are "purely real" as their imaginary part is zero. On the other hand, points on the imaginary axis denote complex numbers whose real part is zero and hence they are "purely imaginary".
We know that, the real and imaginary axis meet at the origin which represents the complex number $0+0i$. As this point simultaneously lies on the real as well as the imaginary axis, we say that zero is both purely real and purely imaginary.