get all dates in the current month

You can create a dynamic table of dates for the current month

SELECT date_field
FROM
(
    SELECT
        MAKEDATE(YEAR(NOW()),1) +
        INTERVAL (MONTH(NOW())-1) MONTH +
        INTERVAL daynum DAY date_field
    FROM
    (
        SELECT t*10+u daynum
        FROM
            (SELECT 0 t UNION SELECT 1 UNION SELECT 2 UNION SELECT 3) A,
            (SELECT 0 u UNION SELECT 1 UNION SELECT 2 UNION SELECT 3
            UNION SELECT 4 UNION SELECT 5 UNION SELECT 6 UNION SELECT 7
            UNION SELECT 8 UNION SELECT 9) B
        ORDER BY daynum
    ) AA
) AAA
WHERE MONTH(date_field) = MONTH(NOW());

NOTE: If you cut-and-paste the above query as is, it will generate the whole month for you

You then LEFT JOIN this to your original query

SELECT
    AAA.date_field,
    IFNULL(BBB.val,0) val
FROM
(
    SELECT date_field
    FROM
    (
        SELECT MAKEDATE(YEAR(NOW()),1) +
        INTERVAL (MONTH(NOW())-1) MONTH +
        INTERVAL daynum DAY date_field
        FROM
        (
            SELECT t*10+u daynum FROM
            (SELECT 0 t UNION SELECT 1 UNION SELECT 2 UNION SELECT 3) A,
            (SELECT 0 u UNION SELECT 1 UNION SELECT 2 UNION SELECT 3
            UNION SELECT 4 UNION SELECT 5 UNION SELECT 6 UNION SELECT 7
            UNION SELECT 8 UNION SELECT 9) B ORDER BY daynum
        ) AA
    ) AA WHERE MONTH(date_field) = MONTH(NOW())
) AAA LEFT JOIN (SELECT date_field,val FROM MY_TABLE) BBB
USING (date_field);

Give it a Try !!!

First, the condition WHERE date_field >= (CURDATE()-INTERVAL 1 MONTH) will not restrict your results to the current month. It will fetch all dates from 30-31 days ago up to the current date (and to the future, if there are rows with future dates in the table).

It should be:

WHERE date_field >= LAST_DAY(CURRENT_DATE) + INTERVAL 1 DAY - INTERVAL 1 MONTH
  AND date_field < LAST_DAY(CURRENT_DATE) + INTERVAL 1 DAY

Now, to the main question, to create 28-31 dates, even if the table has not rows for all the dates, you could use a Calendar table (with all dates, say for years 1900 to 2200) or create them on the fly, with something like this (the days table can be either a temporary table or you can even make it a derived table, with a somewhat more complicated query than this one):

CREATE TABLE days
( d INT NOT NULL PRIMARY KEY ) ;

INSERT INTO days
VALUES (0), (1), (2), ....
                  ..., (28), (29), (30) ;

SELECT 
    cal.my_date        AS date_field, 
    COALESCE(t.val, 0) AS val
FROM 
    ( SELECT 
          s.start_date + INTERVAL (days.d) DAY  AS my_date
      FROM 
          ( SELECT LAST_DAY(CURRENT_DATE) + INTERVAL 1 DAY - INTERVAL 1 MONTH
                       AS start_date,
                   LAST_DAY(CURRENT_DATE) 
                       AS end_date
          ) AS s
          JOIN days  
              ON  days.d <= DATEDIFF(s.end_date, s.start_date)
    ) AS cal
    LEFT JOIN my_table AS t 
        ON  t.date_field >= cal.my_date 
        AND t.date_field  < cal.my_date + INTERVAL 1 DAY ; 

The above should work for any type of the date_field column (date, datetime, timestamp). If the date_field column is of type DATE, the last join can be simplified to:

    LEFT JOIN my_table AS t 
        ON  t.date_field = cal.my_date ;