Villains often have complex backstories about the circumstances and events in their lives that made them who they are.  Heroes don't typically get that treatment.  (Q.v. Leo Tolstoy:  "Happy families are all alike but unhappy families are each unhappy in their own unique way.")

There are also often complex reasons why villains do the things they do.  Perhaps they have what most would view as a noble goal but the means are horrifying, e.g. fighting climate change by wiping out most of humanity.  Perhaps they see what they do as serving a greater good, e.g. exposing corruption by officials or "stealing ill-gotten gains from the rich and giving to the poor".  Perhaps they're sympathetic because they're members of an underclass who have most good and lawful means of earning a living closed off to them by an unjust society, so they earn a living in some kind of illegal trade.  Again, heroes don't typically get that kind of treatment in fiction.  (Except for Batman, and he's about as dark as a hero gets, to the point where he's indistinguishable from the villains he fights, a lot of the time.)

And then there's this entire list of fictional characters whom people idolize and shouldn't.  Not all of them are villains, though, some of them just have toxic traits.  Tyler Durden, Bojack Horseman, The Joker, Randle Patrick McMurphy (One Flew Over the Cuckoo's Nest), Walter White, Tony Montana (Scarface).  I'd be a lot more worried about someone who unironically idolized one or more of those characters.

Also...THIS IS FICTION.  Part of being a non-delusional adult is being able to distinguish fiction from reality.  You can enjoy murder mysteries without wanting to commit murder.

Why yes I spend far too much time reading TVTropes.