Brotli is naturally limited to 16 MB of memory use whereas ZStd makes less attempts to reduce memory use. If you want to use more memory with Brotli, you need to use another flag '--large_window' instead of '--window', to indicate that you really want it, whereas zstd uses a lot of memory more silently.
When you compare compression levels, you should compare with same memory consumption -- and if you do that, brotli tends to win by 5 %.
When in doubt in benchmarking, run brotli with --large_window 30
https://encode.ru/threads/2947-large-window-brotli-results-a... is a summary of a recent large-scale experiment of a large variety of compressors, including brotli, zstd and LZMA.