Combine caraway seeds, fennel seeds, and anise seeds in a spice grinder; pulse until coarsely ground.
Heat milk and butter in a deep saucepan, stirring occasionally, until butter melts and milk comes to a bare simmer, about 5 minutes. Remove from heat and cool until milk registers 100 degrees F (38 degrees C) on an instant-read thermometer.
Stir molasses and yeast into the milk mixture. Let stand until yeast is foamy, about 5 minutes. Add 2 cups all-purpose flour, rye flour, sea salt, and orange zest; stir until dough forms a shaggy mass. Knead in the saucepan, adding more flour if needed, until dough is no longer sticky, 5 to 7 minutes.
Turn dough out on a floured surface. Knead, adding more flour if needed, until smooth and springy, about 7 minutes.
Place dough in a large greased bowl, turning to coat. Cover with a damp kitchen towel or piece of plastic wrap. Let rise in a warm area until somewhat puffy, about 1 hour.
Line a baking sheet with parchment paper. Place dough on the baking sheet. Cover lightly with the towel or plastic wrap. Let rise until puffy, about 1 hour 30 minutes.
Preheat oven to 350 degrees F (175 degrees C).
Bake in the preheated oven until browned, 35 to 40 minutes. Bread will sound hollow when tapped on the bottom.