So, you are on your mac, you right click on a file and search for "compress with password".
Tough luck, there is no such thing out of the box.

But fear no more! There is a simple way to do this, via terminal! Come on, do not be scared. It is not that difficult.
All you have to do is open terminal and:

1. Go to the directory where you have your folder or file ready to be compressed

fmbp16:~ florian$ cd my_archives 
fmbp16:my_archives florian$

2. Use zip with arguments er where e = encrypt and r = recursive (zip everything).

fmbp16:my_archives florian$ zip -er encrypted_archive.zip my_file_to_be_zipped.txt 
Enter password: 
Verify password: 
  adding: my_file_to_be_zipped.txt (deflated 86%)
fmbp16:my_archives florian$ ls -la 
total 128
drwxr-xr-x    4 florian  staff    128 Nov 17 11:02 .
drwxr-xr-x@ 206 florian  staff   6592 Nov 17 11:02 ..
-rw-r--r--    1 florian  staff   7999 Nov 17 11:02 encrypted_archive.zip
-rw-r--r--    1 florian  staff  56316 Nov 17 11:00 my_file_to_be_zipped.txt
fmbp16:my_archives florian$ rm my_file_to_be_zipped.txt

3. If you remember the password, you can either use the archive utility via graphical interface (a password prompt will appear) or via terminal like this:

fmbp16:my_archives florian$ unzip encrypted_archive.zip 
Archive:  encrypted_archive.zip
[encrypted_archive.zip] my_file_to_be_zipped.txt password: 
password incorrect--reenter: 
   skipping: my_file_to_be_zipped.txt  incorrect password

fmbp16:my_archives florian$ unzip encrypted_archive.zip 
Archive:  encrypted_archive.zip
[encrypted_archive.zip] my_file_to_be_zipped.txt password: 
  inflating: my_file_to_be_zipped.txt  
fmbp16:my_archives florian$ ls -la 
total 128
drwxr-xr-x    4 florian  staff    128 Nov 17 11:03 .
drwxr-xr-x@ 206 florian  staff   6592 Nov 17 11:02 ..
-rw-r--r--    1 florian  staff   7999 Nov 17 11:02 encrypted_archive.zip
-rw-r--r--    1 florian  staff  56316 Nov 17 11:00 my_file_to_be_zipped.txt