Quantum anomalous Hall (QAH) effect in magnetic topological insulator (TI) is a novel transport phenomenon in which the Hall resistance reaches the quantum plateau in the absence of external magnetic field. Recently, this exotic effect has been discovered experimentally in an ultrathin film of the Bi2Te3 family TI with spontaneous ferromagnetic (FM) order. An important question concerning the QAH state is whether it is simply a zero-magnetic-field version of the quantum Hall (QH) effect, or if there is new physics beyond the conventional paradigm. Here we report experimental investigations on the quantum phase transition between the two opposite Hall plateaus of a QAH insulator caused by magnetization reversal. We observe a well-defined plateau with zero Hall conductivity over a range of magnetic field around coercivity, consistent with a recent theoretical prediction. The features of the zero Hall plateau are shown to be closely related to that of the QAH effect, but its temperature evolution exhibits quantitative differences from the network model for conventional QH plateau transition. We propose that the chiral edge states residing at the magnetic domain boundaries, which are unique to a QAH insulator, are responsible for the zero Hall plateau. The rich magnetic domain dynamics makes the QAH effect a distinctive class of quantum phenomenon that may find novel applications in spintronics. Show Partial Abstract