terminate called after throwing an instance of 'zmq::error_t' what(): Invalid argument

I have a simple ZeroMQ request reply pattern, that I am trying to implement as two threads. However When I run the below code, I get the following error.

C:\Users\karthik\Documents\Workspace\cpluspluspen\cmake-build-debug\zeromq\zmq_ex1\zmq_server.exe
Waiting on receive()connect to 5555

terminate called after throwing an instance of 'zmq::error_t'
  what():  Invalid argument

Process finished with exit code 0

What am I doing wrong?

#include <zmq.hpp>
#include <iostream>
#include <unistd.h>
#include <future>

class ZmqServer{
public:
    ZmqServer() : m_context(1), m_replySocket(m_context, ZMQ_REP), m_requestSocket(m_context, ZMQ_REQ) {
    }

    void Bind(std::string protocol ,int port){
        std::string bind_param;
        bind_param = protocol + "://*:" + std::to_string(port);
        m_replySocket.bind(bind_param);
    }

    void receive(){
        zmq::message_t request;
        //  Wait for next request from client
        m_replySocket.recv (&request);
        std::cout << "Received message : " << request << std::endl;
    }

    void send(std::string msg){
        //  Send reply back to client
        zmq::message_t reply (msg.size());
        memcpy (reply.data (), msg.c_str(), 5);
        m_replySocket.send (reply);
    }

    void connect(std::string protocol, int port) {
        std::string bind_param;
        bind_param = protocol + "://*:" + "localhost" +std::to_string(port);
        m_requestSocket.connect(bind_param);
    }

private:
    zmq::context_t m_context;
    zmq::socket_t m_replySocket;
    zmq::socket_t m_requestSocket;
};

void serverThread(std::shared_ptr<ZmqServer> zmq)
{
    std::cout << "Waiting on receive()" << std::endl;
    sleep(1);
    zmq->receive();
    sleep(1);
    zmq->send("World");
}

void clientThread(std::shared_ptr<ZmqServer> zmq)
{
    std::cout << "connect to 5555" << std::endl;
    zmq->connect("tcp", 5555);
    zmq->send("Hello");
    sleep(1);
    zmq->receive();
}

int main () {
    auto zmq = std::make_shared<ZmqServer>();
    zmq->Bind("tcp", 5555);
    auto sThread = std::thread( serverThread, std::ref(zmq));
    auto cThread = std::thread(clientThread, std::ref(zmq));

    cThread.join();
    sThread.join();

    return 0;
}