I cannot find any reference to where this first came from.
I'm wondering wether it was adapted by someonefrom it's other meaning :
The temperature range (between 28 and 30 degrees Centigrade) at which the naked human body is able to maintain a heat balance without shivering or sweating
http://www.thefreedictionary.com/comfort+zone
As in the physical came first and then someone decided to put a different spin on it and give it it's pychological conotation:
A comfort zone denotes the limited set of behaviors and environments that a person can engage in without becoming anxious.
One's comfort zone refers to the set of environments and behaviors with which one is comfortable, without creating a sense of risk. A person's personality can be described by his or her comfort zones. Highly successful persons may routinely step outside their comfort zones, to accomplish what they wish. A comfort zone is a type of mental conditioning that causes a person to create and operate mental boundaries that are not real. Such boundaries create an unfounded sense of security. Like inertia, a person who has established a comfort zone in a particular axis of his or her life, will tend to stay within that zone without stepping outside of it. To step outside a person's comfort zone, they must experiment with new and different behaviors, and then experience the new and different responses that then occur within his environment
https://en.wikipedia.org/wiki/Comfort_zone
