Zenyatta's ult only heals for 300 a second in it's area of influence. People still die with it up, it just requires instant burst like a Junkrat or D.Va ult. Only Zenyatta is invulnerable during it. It's strong, but it has weaknesses. Furthermore, Zenyatta's orb of healing does significantly less healing than any other heal in the game (even Soldier's biotic field heals faster than the orb) and it only heals 1 target at a time, at the sole benefit of only needing to maintain line of sight to keep it up.
If you're all dying to a Bastion or Torbjorn in the time it takes either of them to take out a Lucio ult shield, you're probably all bad. Both of those characters are so terrible they're pretty much never picked except in very specific instances of maps in higher level play.
The reason Lucio is the best support in the game isn't just the fact he has a passive aoe heal or strong aoe shield, although both contribute to the assessment, but that his speed boost can let his team disengage and reengage at will. If a Zenyatta ults to push an objective, Lucio will just speed boost his team out, wait until the ult ends, and then they'll all reengage. And with roles reversed, Lucio's team pushes in, Zenyatta ults, Lucio disengages team with speed boost, ult was wasted.