It's not always a complex manifold: Severn Schraven pointed out that the zero set of $f(z_1,z_2)=z_1z_2$ has a non-manifold point $(0,0)$; specifically, a neighborhood of $(0,0)$ in $Z(f)$ is not even homeomorphic to an open subset of $\mathbb{C}$, let alone being complex-diffeomorphic to it.
A sufficient condition is that the implicit function theorem applies to $f$, which for holomorphic functions $f:\mathbb{C}^n\to\mathbb{C}$ means: at every point of the zero set $Z(f)$, at least one of the partial derivatives $\partial f/\partial z_k$ is nonzero. The implicit function theorem then provides a holomorphic parameterization of small pieces of $Z(f)$. It is discussed in Analytic implicit function theorem and Implicit function theorem for several complex variables.
(I used to think that nonvanishing of $\nabla f$ on $Z(f)$ is also necessary for $Z(f)$ to be a complex manifold, but Daniel Fischer pointed out that $f^2$ has the same zero set. )