Cockroft-Walton circuit use in bug zapper
Stop short circuiting it.
In normal operation, very little current flows through the diodes.  Just enough to charge the capacitors, really.
You usually let it charge and then draw a low current from the high voltage terminal.  You want a high voltage, but a low current DC source.  The higher the current goes, the less the output resembles DC - the &quot;ripple&quot; on the output gets very bad.
When you short circuit the output, the output voltage drops to the point that all of the diodes will be forward biased (conducting) at once.
With the output shorted and all of the diodes conducting, the only thing limiting the current is that first capacitor.
You say you are using 4.7uF capacitors.  That's an impedance of 677 ohms at 50 Hz.
The peak to peak voltage of 220VAC is 622 volts.
When you short circuit that thing, you are exposing all of the diodes to peak currents at about their maximum.  That can't be good for them.
Do not short circuit that thing without a large resistor or a small capacitor in series with it.
I'd use a smaller capacitor for the first one (top left capacitor in your diagram.)  Reduce it to maybe 1uF or less to limit the short circuit current.

What ever you do, be careful. As Andy aka mentioned in the comments, that thing is a people zapper.  It is just waiting for you to touch it in the wrong place.

Your - terminal is connected directly to one side of the AC source.  If that's the live wire of your outlet, you will get zapped with 220VAC if you touch it.
When the capacitors are discharged, the + and - terminals will be at 220VAC from one another - touching them will zap you.
The high voltage you are generating can zap you quite hard.  Those 4.7uF capacitors can store enough energy to kill you if you touch + and - while it is charged.
If that thing is meant to really zap bugs, then enclose it in a mesh that will prevent people from sticking their fingers in and getting zapped.

That circuit is a killer.  Treat it with lots of respect, and consider locking it away for safety's sake.