vmlinuz is a compressed Linux kernel, and it is bootable. Bootable means that it is capable of loading the operating system into memory so that the computer becomes usable and application programs can be run.
vmlinuz should not be confused with vmlinux, which is the kernel in a non-compressed and non-bootable form. vmlinux is generally just an intermediate step to producing vmlinuz.
vmlinuz is not merely a compressed image. It also has gzip decompressor code built into it. gzip is one of the most popular compression utilities on Unix-like operating systems.