Zircon (ZrSiO4) is one of the most widely used minerals for determining the age, origin and thermal history of rocks by U-Th-Pb geochronology. But the parameters describing the solid-state (volume) diffusion rates of these elements in natural zircon, which are themselves important for establishing the limits on the applicability of zircon for geochronological studies, have remained poorly quantified. This is because of the measurement difficulties associated with the low (p.p.m.) concentrations and low diffusion rates of these elements in natural zircon, and the chemical and physical heterogeneity present in most crystals. Here we present direct measurements of the uranium, thorium and lead loss from a thermally treated gem-quality natural zircon and show that lead diffuses much faster than uranium or thorium. We find that the U-Th-Pb isotopic system in natural zircon will typically have a closure temperature greater than 900°C, which explains why zircon is apparently such a robust geochrometer and is capable of remaining isotopically closed through extended periods of high-grade metamorphism and partial melting of the host rock.