Some - but not all! - divergences are "automatically" renormalized by zeta/dimensional regularization (both methods lie within the general purview of analytic continuation methods of regularization). For example, consider the integral
$$
I_{d,s} = \int \frac{d^d p}{(2 \pi)^d} \frac{1}{(p^2 + m^2)^s}.
$$
This is clearly divergent for any ##d>2s##, but analytic continuation gives you the answer
$$
I_{d,s} = \frac{\Gamma(s - d/2)}{\Gamma(s) (4 \pi)^{d/2}}m^{d - 2s}.
$$
This expression has poles if ##s - d/2## is a negative integer, but is perfectly finite everywhere else. So then loop integrals of this form are finite for all odd ##d## provided ##s## is an integer.
But certain properties of renormalization need to agree between all regularization schemes. For example, the flow of the beta functions, the analytic properties of Callan-Symanzik equations, anomalous dimensions in scale invariant theories, etc. So clearly zeta reg can't get rid of all divergences, since it also needs to be able to contain this important physical information.