I had invested in a penny stock a while back. It has done two reverse splits since and I have been left with ZERO shares (the company still trades). It has been removed from my portfolio completely. Am I able to write this off as a loss when filing taxes?

Yes, it's a write off. If you had too few shares to make up one of the new shares after the reverse split there should be an indication in your monthly or quarterly statement as to how they handled it - i.e, when you disposed of your holdings and what cash (if any) was received in lieue of the fractional share. That cash amount is what you sold the stock for, and should be reported as proceeds from the sale on Schedule D of your tax return.