Cholesterol does not have a zeta potential by itself. The zeta potential arises when cholesterol forms larger assemblies (such as high- and low-density lipids) and these assemblies (nanoparticles) are dispersed in an aqueous liquid.
One end of the molecule is an -OH group. Depending on the pH of the liquid, this could be protonated (-OH2+) or deprotonated (-O-), leading to positive or negatively charged nanoparticles and, hence, positive or negative zeta potentials. I would suspect that at typically pHs, the equilibrium is towards the negative.
Of course, the true picture could be more complicated depending on the purity of the cholesterol and the presence of other ionic materials that become incorporated into the particles.