The underlying makeself.sh script supports zstd, but zstd itself is still not installed out of the box on several distributions that are still supported. Unlike xz where we can embed xzminidec into the .run package, there’s no easy standalone decompressor for zstd.
I tried this and --ultra -22 seems to remove the ability for zstd to use more than one CPU core, which means it won’t just be a drop-in replacement for xz. I’ll look into whether I can use your link as a standalone decompressor but the regression in compression time is going to be a hard sell for the build automation team.