It’s folklore and was probably first told among people who had only a shaky grasp on anatomy, but a firm grasp on what organs were considered very important in stories. Think about it: The modern zomby is killed by destroying the brain. This fits our common folk knowledge of anatomy much better than the heart. We consider the heart as nothing more than a blood pump and the brain as the centre of what we are. In former times the heart was seen as much more important, dating back to acient Greek lore who thought the brain was just a cooler for our blood.