Many of native English speakers are wondering, why French people substitutes the TH sound with a Z sound? For English speakers (and many of non-French speakers) the two sound are really different. Over many decades, the European French language, has lost some of its vowel sounds. The language, in term of sound has been simplified. That makes difficult for this group of speakers to identify new sound in a foreign language. For instance, the O vowels is pronounced only in one way in France, where in Quebec or Switzerland the O is pronounced differently as per the original French language
Back to our TH sound. There are two ways to pronounce this sound correctly:
Put your tongue on the back of your upper front teeth and blow air through your mouth. Second method is to put your tongue between your top and bottom front teeth and blow air through your mouth. The unvoiced TH sound of "Bath" will be replicated correctly. To replicate a voiced TH as in the word "this", you have to do the same but making your vocal cords vibrate
How to pronounce a Z sound
Put your tongue to the roof of the mouth with the tip close to the upper backside of the top front teeth. The tongue is kept tense. Blow air through your mouth and make your vocal cords vibrate.
When you have a look on both sketches above, the tongue is almost in the same place (a bit higher in the case of the Z sound) and the sound for French speaker seems to be identical. Hence the confusion.
If a French native speaker wants to improve the TH pronunciation, the method 2 (tongue between both front teeth). is maybe more appropriated. The speed speech will be lower, but the pronunciation will be more accurate and easier to understand for your audience. When you will master the TH sound, you can try to use the first methods, that will make sounds transition smother and your speech will sound more natural