I think it also comes from how they can act on urges directly. People are (sometimes)frustrated by their lives, and a mobster seems like it is a glamorous life

I think it also comes from how they can act on urges directly. People are (sometimes)frustrated by their lives, and a mobster seems like it is a glamorous life where you can shoot anyone you don't like. To add to that psychopathic characters who can speak their mind without consequence like Sherlock etc are also admired quite a bit. I am of course talking here about romanticism in movies and literature, and not real life ones.