Who is the protoganist?
In this story, there is a case to be made for either the kidnappers being the protagonists or Red Chief being the protagonist. The same might be said for the antagonist(s) in the story, either the kidnappers or Red Chief. Sometimes we think of the protagonist as the "good guy" in the story, with a counteracting "bad guy" who creates the tension in the story. On the other hand, sometimes we define the protagonist simply as the main character in the story. So, the question becomes which definition you buy into and whom you see as the good guy(s) or the bad guy(s).
Generally speaking, we do not think of kidnappers as being the good guys, nor victims of kidnapping as the bad guys. So, it is possible to think of the protagonist in the story as Red Chief and the kidnappers as the antagonists. Clearly, it is Red Chief who triumphs over the kidnappers in the end. On the other hand, particularly since this is an O. Henry story and O. Henry was a master of irony, surprising us with the unexpected in his stories, there is something to be said for thinking of the kidnappers as the good guys in the story and Red Chief as the bad guy. After all, while, as the story begins, the kidnappers are taking advantage of Red Chief, by the end of the story, it is Red Chief who has taken advantage of them and in fact, has cost them time and money to no avail. Poor kidnappers!
If you define the protagonist as the main character in the story, then Red Chief is the protagonist, certainly. It is his behavior and character that are the primary focus of the story, with the kidnappers being foils to his mischief. And of course, the title of the story places the focus squarely on him.
So, all in all, how one defines the protagonist and the antagonist is going to elicit different answers to this question My own vote is for Red Chief as the protagonist, since he is the main character and he does triumph over the kidnappers. Sometimes we watch a movie in which we are rooting for the bad guy. :)