msoulier@cappuccino:~$ python
Python 2.7.3 (default, Mar 13 2014, 11:03:55)
[GCC 4.7.2] on linux2
Type "help", "copyright", "credits" or "license" for more information.
>>> from datetime import datetime
>>> now = datetime.now()
>>> now.strftime("%z")
''
>>> import time
>>> time.strftime("%z", time.localtime(time.time()))
'+0000'
>>>

I think those calls should be printing the UTC offset, no?

This is not an issue with strftime. By default, datetime and time objects are 'navie' and they do not contain timezone info. Nor does the datetime module provide any tzinfo classes of its own. You would need to write a class derived from tzinfo and specify it as the tzinfo attribute for these objects to be timezone aware.

As Jayanth points out, datetime objects are deliberately time zone "naive" by default; please read https://docs.python.org/2/library/datetime.html and https://docs.python.org/2/library/datetime.html#tzinfo-objects for more information.  Also see https://pypi.python.org/pypi/pytz/.