We report for the first time on the observation of an angular anisotropy of the THz signal generated by optical rectification in a < 111 > ZnTe crystal. This cubic (zinc-blende) crystal in the < 111 > orientation exhibits both transverse isotropy for optical effects involving the linear χ(1) and nonlinear χ(2) susceptibilities. Thus, the observed anisotropy can only be related to χ(3) effect, namely two-photon absorption, which leads to the photo-generation of free carriers that absorb the generated THz signal. Two-photon absorption in zinc-blende crystals is known to be due to a spin-orbit interaction between the valence and higher-conduction bands. We perform a couple of measurements that confirm our hypothesis, as well as we fit the recorded data with a simple model. This two-photon absorption effect makes difficult an efficient generation, through optical rectification in < 111 > zinc-blende crystals, of THz beams of any given polarization state by only monitoring the laser pump polarization.