I just got new HP ZBook but why it Doesn't turning on?

If it's a new one, you have some warranty ?

if you dont have warranty , if you turn on the laptop does it make some noises? ( silent noise, like hard disk turning on and so.., if so try to connect the laptop to a external monitor , the graphic chip can be damaged.

If you don't hear some noises and the laptop doesnt turn on at all, this will be a mainboard issue.

In the case of a damaged main board , try to find the same second hand and follow a main board change guide here on ifixit.