For me personally, as long as I take precautions, I wouldn't be too worried. Bangkok is generally clean (assuming you are going to Central/Business district). Wear covered clothes when you're out and stay in a trusted clean hotel away from main drains. Put on repellants if you're going outdoors or bring "Clip on", a repellent that you just have to put it somewhere you and it provides you with day long protection. I don't believe in changing my plans just because of something that could be prevented. Just like the MERS outbreak, take precautions and go about your daily life.
Currently there is no Zika outbreak reported in Thailand, http://bangkokpostonline.com/news/general/849300/zika-virus-found-but-no-outbreak However, since it affects pregnant women, I will not take the risks. After giving birth, I can travel anytime. It is not worth to take the risk since we already know there are 2 cases confirmed in Thailand.
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What trimester pregnancy are you in? If first Tri I would avoid.
thanks