"Comfort zone" as a phrase is used to describe a psychological state of being familiar with the situation and environment someone is in at any particular time. Everyone has their own "comfort zone" and it is possible to have one without even being aware of it. When we feel at ease, relaxed and in control we are in our comfort zone. There is nothing to cause us stress or anxiety and we feel "at home". Usually these are the times we are more likely to be our true selves and we feel sure of ourselves.
It is where and when we can recharge our batteries and, if we are actually doing something, we are operating effortlessly, as "a natural".
Beyond this is everything we are not very familiar with, the further away from the zone - the less familiarity there is, up to the point where the unknown territory begins. It is something we have never done before, never seen and never heard of. Our survival instincts will tell us, of course, to be careful as there could be danger. Any risk of danger will prompt the fight or flight response which is connected to anxiety and stress levels. Up to a certain point they will help to focus and concentrate, until our coping resources have gone into overdraft, that is.