Neutrinoless Double Beta Decay is a phenomenon of fundamental interest in particle physics. The decay rates of double beta decay transitions to the excited states can provide input for Nuclear Transition Matrix Element calculations for the relevant two neutrino double beta decay process. It can be useful as supplementary information for the calculation of Nuclear Transition Matrix Element for the neutrinoless double beta decay process. In the present work, double beta decay of $^{94}$Zr to the $2^{+}_{1}$ excited state of $^{94}$Mo at 871.1 keV is studied using a low background $\sim$ 230 cm$^3$ HPGe detector. No evidence of this decay was found with a 232 g.y exposure of natural Zirconium. The lower half-life limit obtained for the double beta decay of $\rm^{94}Zr$ to the $2^{+}_{1}$ excited state of $\rm^{94}Mo$ is $T_{1/2} (0\nu + 2\nu)> 3.4 \times 10^{19}$ y at 90% C.L., an improvement by a factor of $\sim$ 4 over the existing experimental limit at 90\% C.L. The sensitivity is estimated to be $T_{1/2} (0\nu + 2\nu) > 2.0\times10^{19}$ y at 90% C.L. using the Feldman-Cousins method.
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