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how so many MEV bots contract addresses start with many zeros? I understand they do so to use less gas but how they manage to create contracts with such addresses?

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I believe they are using CREATE2 for deploying the contracts and brute force to figure out what salt to use to get the leading 0s.

Address for contracts created using CREATE2 are determined as keccak256( 0xff ++ address ++ salt ++ keccak256(init_code))[12:]. Within these 3 parameters, address and init_code would be fixed, salt can be changed for getting different output, so brute force the salt to get a desired pattern in your address.

Check the EIP at https://eips.ethereum.org/EIPS/eip-1014

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