In this paper, we propose zero-knowledge proof (ZKP) protocols using physical objects for four pencil-and-paper puzzles: the well-known Sudoku as well as Makaro, Futoshiki, and Kakuro. That is, our protocols allow a prover to convince a verifier that the prover knows a solution to a puzzle without relying on the use of computers. While previous physical ZKP protocols for puzzles have mainly relied on decks of cards, our research introduces a novel approach utilizing a balance scale and coins to design balance-based ZKP protocols; moreover we show its flexibility by adapting it to the four different puzzles. We compare the number of coins and operations in our protocols with the existing card-based protocols and show that, for certain puzzles, our balance-based protocol outperforms the card-based method. Finally, we prove that our protocols achieve perfect completeness, perfect soundness and are perfectly zero-knowledge.