Starting with your version, I got about a 2x improvement with the
following:

(defn check-bounds [x y]
   (let [f2 (float 2.0)
         f4 (float 4.0)]
   (loop [px (float x)
          py (float y)
          zx (float 0.0)
          zy (float 0.0)
          zx2 (float 0.0)
          zy2 (float 0.0)
          value (float 0)]
      (if (and (< value (*max-steps*)) (< (+ zx2 zy2) f4))
           (let [new-zy (float (+ (* (* f2 zx) zy) py))
                 new-zx (float (+ (- zx2 zy2) px))
                 new-zx2 (float (* new-zx new-zx))
                 new-zy2 (float (* new-zy new-zy))]
                 (recur px py new-zx new-zy new-zx2 new-zy2 (inc
value)))
           (if (== value (*max-steps*)) 0 value)))))

f2 and f4 didn't do much, most improvement seems to come from (* (* f2
zx) zy) in place of (* f2 zx zy). Using the arity 2 multiply results
in the multiply being inlined.
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