crosshair: one of the fine line wires or threds in the eyepiec of an optical instrument used as a reference line. (Webster Dictionary)

it is the cross you see when aiming a firearm...

(100% sure about what the word means!)

I found this additional information, regarding the song itself:
Franz Ferdinand took inspiration for their name from a racehorse called "The Archduke Ferdinand." After seeing the horse race on TV they began to discuss Archduke Franz Ferdinand of Austria, whose assassination triggered World War 1. They decided it would be a good band name because of its sound and the implications of the Archduke's death.

This song is about a sniper. The lyrics begin "So if you're lonely, you know I'm here waiting for you. I'm just a crosshair, I'm just a shot away from you." http://www.songfacts.com/detail.php?id=4387

From this interpretation, I understand that it means I am really close to you, in your sight - or you are in my sight...

(in another context you could say "I am a heartbeat away", here it is "I am a crosshair away")

I am really not sure if this interpretation is valid, it is just a suggestion from what I understand from these explanations...