From Kotaku:

Surely, I thought, when first seeing the band’s likeness and logo emblazoned on her tee, that wouldn’t last very long. But that Depeche Mode cameo is intentional and it’s authorized.

…The band was very free with letting Valve use its likeness, its audio recordings, and, obviously, its t-shirts in the game.

Music and gaming have had a very valuable relationship that has grown in recent years thanks to Rock Band and Guitar Hero, so it s not surprising a big name band like Depeche Mode feels being in a zombie game is advantageous.

They recently released their twelfth studio album, Sounds of the Universe, so common sense dictates it would be a very smart marketing move for the band to try and gain new audience through any media possible.