So what happens if FB went bankrupt and he lost all his money somehow and can’t afford to pay for protection anymore?

Ignoring the fact that Zuckerberg is a public figure and there might be some crazies who want to do him harm regardless of his financial status, the typical reason that people with a lot of money need protection is because people want their money and will extort, kidnap, and ransom to try and get some of their money.

So if he lost all his money, there’s no need for security to protect him from people who want his money. He might still want protection as a public figure, but then without money he’s no different than a broke, once-famous actor.