zstd beats gzip handily, either in terms of speed for a given compression ratio or compression ratio for a given amount of wall clock time. And that's without even using multiple threads, which zstd supports out of the box but for gzip you would need to use a different tool like pigz. And on top of that zstd is also much faster to decompress.

In 2022, if you care about compression performance at all, there's no reason to even consider gzip unless you have a specific need for it (e.g. you have to deal with some other thing that can't handle zstd).