It is a tricky question. `CountourPlot[F[x,y]==0,...]` finds points where `F[x,y]>0` and `F[x,y]<0`. Then by dichotomy it finds points where `F[x,y]` is approximately zero. In your case `Abs[f[x,y]]-0.001` is almost always positive, so the algorithm fails. 

It is nontrivial (at least at the first sight) to find points when both the real and the imaginary part of complex function is zero. Especially if function has quickly oscillating phase.

For this moment I found this workaround

    f[a_, a0_, k_, K0_] := 
      a^2 Sech[(a a0)/2]^2 (-2 I (1 + E^(2 I a0 k)) k + 
          a (-1 + E^(2 I a0 k)) Tanh[(a a0)/2]) + 
       2 k (I E^(I a0 k) ((a - k) (a + k) Cos[a0 k] + (a^2 + k^2) Cos[
               a0 K0]) + a (-1 + E^(2 I a0 k)) k Tanh[(a a0)/2]);
    With[{a0 = 10., a = 1.4}, 
     ContourPlot[{Abs[f[a, a0, y, x - 0.01]] == 
        Abs[f[a, a0, y, x + 0.01]], 
       Abs[f[a, a0, y - 0.01, x]] == 
        Abs[f[a, a0, y + 0.01, x]]}, {x, -\[Pi]/a0, \[Pi]/a0}, {y, 0, 2}]]

![enter image description here][1]

Only those points are meaningful where both colors match.


  [1]: http://i.stack.imgur.com/G9t80.png