grep --include command doesn't work in OSX Zsh

FreeBSD/macOS grep does support the --include option (see man grep; it's unfortunate that the command-line help (grep -h) doesn't list this option), but your problem is that the option argument, *.rb, is unquoted.

As a result, it is your shell, zsh, that attempts to pathname-expand --include=*.rb up front, and fails, because the current directory contains no files with names matching glob pattern *.rb.
grep never even gets to execute.

Since your intent is to pass *.rb unmodified to grep, you must quote it:

grep --include='*.rb' -rnw . -e "pattern"     

If your grep does not support --include, and you don't want to install GNU grep just for this, there are a number of portable ways to perform the same operation. Off the top of my head, try

find . -type f -name '*.rb' -exec grep -nw "pattern" /dev/null {} \;

The find command traverses the directory (like grep -r) looking for files named *.rb (like the --include option) and the /dev/null is useful because grep shows a slightly different output format when you run it on multiple files.

This is slightly inefficient because it runs a separate grep for each file. If it's too slow, look into xargs (or use find -exec ... {} \+ instead of ... {} \; if your find supports that). This is a very common task; you should easily find thousands of examples.

You might also want to consider ack which is a popular and somewhat more user-friendly alternative. It is self-contained, so "installation" amounts to copying it to your $HOME/bin.