Sketch-based image retrieval (SBIR) is the task of retrieving images from a natural image database that correspond to a given hand-drawn sketch. Ideally, an SBIR model should learn to associate components in the sketch (say, feet, tail, etc.) with the corresponding components in the image having similar shape characteristics. However, current evaluation methods simply focus only on coarse-grained evaluation where the focus is on retrieving images which belong to the same class as the sketch but not necessarily having the same shape characteristics as in the sketch. As a result, existing methods simply learn to associate sketches with classes seen during training and hence fail to generalize to unseen classes. In this paper, we propose a new benchmark for zero-shot SBIR where the model is evaluated in novel classes that are not seen during training. We show through extensive experiments that existing models for SBIR that are trained in a discriminative setting learn only class specific mappings and fail to generalize to the proposed zero-shot setting. To circumvent this, we propose a generative approach for the SBIR task by proposing deep conditional generative models that take the sketch as an input and fill the missing information stochastically. Experiments on this new benchmark created from the "Sketchy" dataset, which is a large-scale database of sketch-photo pairs demonstrate that the performance of these generative models is significantly better than several state-of-the-art approaches in the proposed zero-shot framework of the coarse-grained SBIR task.