Zangief loves his vodka almost as much as he enjoys punishing those who can't handle it. Witness him take his frustrations out on the internet's most amusing drunks.
It's a bit of a stereotype, sure, but what else could be keeping the man warm while he's doing battle in the freezing cold wearing nothing but booties and booty shorts? It's vodka, with a side order of cruelty.
Whatever. He's a bad guy. Unlike Chun-Li, he doesn't have to explain his motivations to you.