Well, this happens because 0000-00-00 is not a valid date range and therefore it gets parsed into an incorrect date.
I would advise you to make the column nullable in your database. So instead of storing 0000-00-00 in the database, I would store NULL.
If that is not an option, you can always check on the value
'birthday' => $employee['birthday'] === '0000-00-00'
? 'No valid date available'
: $employee['birthday']->format('Y-m-d'),