The traditional traits of a "hero" are things like being of noble birth, honesty, bravery, selflessness and so on. Zastrozzi fits none of these criteria, yet, like many anti-heroes (Tony Soprano on "The Sopranos," for example), we often still end up routing for him, even when his actions are deplorable.
Zastrozzi definitely is not of nobel birth; he is the bastard son of the delusional Verezzi and his mother Olivia, a mere 15 years old when she got pregnant.
Zastrozzi is a criminal, indeed, "the master criminal in all of Europe," and his plans for revenge are anything but selfless. For all of these reasons, if you can continue to hope Zastrozzi prevails in his schemes of revenge, you may definitely call him an "anti-hero."