First, water will always have particles, no matter how it is treated or filtered. In addition, molecules themselves scatter light. Molecular scattering and the presence of ultra-small particles contribute to the turbidity of every aqueous solution.
Another factor is the set of variables that are introduced when more than one sample cell is used when "zeroing." A second sample cell will increase the stray light and may try to overcompensate the difference if "zeroing" is attempted.