Zigzag on a matrix diagonal

Possibly...

\documentclass[]{standalone}
\usepackage{tikz}
\usetikzlibrary{matrix}
\usepackage{fullpage,amsmath}
\usepackage{times}
\begin{document}

\begin{tikzpicture}[baseline=(A.center)]
  \tikzset{BarreStyle/.style =   {opacity=.3,line width=3 mm,line cap=round,color=#1}}


\matrix(A) [matrix of math nodes, left delimiter  = {[}, right delimiter ={]}] 
{ M_{11} &|[color = blue]|  M_{12} & M_{13} &|[color = magenta]| M_{14} & M_{15} &|[color = red]| M_{16} \\
  |[color = blue]|M_{21} & M_{22} & |[color = magenta]|M_{23} & M_{24} & |[color = red]|M_{25} & M_{26} \\
  M_{31} & |[color = magenta]|M_{32} & M_{33} &|[color = red]| M_{34} & M_{35} &|[color = orange]| M_{36} \\
  |[color = magenta]| M_{41} & M_{42} &|[color = red]| M_{43} & M_{44} &|[color = orange]| M_{45} & M_{46} \\
  M_{51} & |[color = red]|M_{52} & M_{53} & |[color = orange]|M_{54} & M_{55} &|[color = olive]| M_{56} \\
 |[color = red]|M_{61} & M_{62} &|[color = orange]| M_{63} & M_{64} &|[color = olive]| M_{65} & M_{66} \\
};

 \path [fill=red, fill opacity=0.25,rounded corners=0.125cm]
  (A-1-1.north west) \foreach \i in {1,...,6}{ |- (A-\i-\i.south east) } 
  \foreach \i in {5,...,1} { |- (A-\i-\i.north east) } -- cycle;

\end{tikzpicture}

\end{document}

What about this?

Code (only the changed parts):

\tikzset{BarreStyle/.style = {
    opacity=.3,line width=6 mm,
    line cap=round, line join=round, 
    color=#1, shorten >= -0.1ex, shorten <= -1ex}
}

[Same matrix definition]

\draw [BarreStyle=red] (A-1-1.center) to (A-1-2.center)
                                      to (A-2-2.center)
                                      to (A-2-3.center)
                                      to (A-3-3.center)
                                      to (A-3-4.center)
                                      to (A-4-4.center)
                                      to (A-4-5.center)
                                      to (A-5-5.center)
                                      to (A-5-6.center)
                                      to (A-6-6.center);