Frank Costello, Self: Kefauver Investigation. The Departed (2006) Jack Nicholson as Frank Costello. His family moved to New York, and as a young man he joined the local Mafia gang. Frank Costello : I got this rat, this gnawing, cheese eating fuckin' rat and it brings up questions... You know, see, Bill, like you're the new guy. Frank Costello was born Francisco Castiglia in Cosenza, Italy, in 1891. When the "Castellamarese War" between gang bosses Giuseppe Masseria and Salvatore Maranzano ended, Costello was one of the few who were held in high respect.