Bandido literally translates to "bandit" or "outlaw." While it can refer to an actual criminal, in a romantic context like this one, it's used more loosely to describe someone who steals your heart or causes trouble in love, rather than a real thief.
In the song, the line "amor bandido que ele te fez" ("treacherous love he put you through") uses the word to paint the relationship as something reckless and almost dangerous. It's a vivid way of turning a love story into an outlaw tale.
A woman walks away from a relationship that left her lost — "Tempo perdido, amor bandido que ele te fez" ("Wasted time, the treacherous love he put you through") — and turns to the singer instead. He tells her to drop the sadness and the fear ("Tira essa tristeza do olhar", "Take that sadness out of your eyes") and just come to him: "Então viaja no meu corpo, sem medo de ser feliz" ("So travel through my body, without fear of being happy").
But the comfort he offers doesn't fix anything long-term. Each time she comes to him, she leaves again the same way: "Mais uma vez você vai, leva um pedaço de mim" ("Once again you leave, taking a piece of me") — and he's left waiting, knowing she'll be back once the next heartbreak lands. It's a song about being someone's rebound, and choosing to stay in that role anyway.