A $15 billion sale of U.S. government debt attracted record demand, even though the securities, which mature in a month, were sold with an interest rate of zero.

Auctions for one-month Treasurys haven’t produced more than a few hundredths of a percentage point of yield going back more than two years. But the record bids on Tuesday highlighted the depth of uncertainty about global economic conditions and investors’ desire to park cash where they know it will be available tomorrow.

The...