"The Most Dangerous Game" is a title with two possible meanings.
First, "Game" is a word used to refer to animals that are hunted for sport or food. Since General Zaroff is bored hunting animals which cannot reason, he invents a new "game" to hunt, that of captured humans. Since humans can reason and make plans, they are more capable of avoiding and fighting a hunter than animals, which makes them a more "dangerous game."
Second, "Game" refers to a sport or activity. Zaroff's passion for hunting -- his preferred "game" -- has waned with boredom, and so he creates a new game. However, since this involves capturing and murdering innocent and unwilling participants, he cannot practice this sport on the mainlands, where civilization will reject his reasoning. Therefore, he moves his "dangerous game" to an island. His "game" is dangerous to him, because if he were caught at it, he would be convicted of murder and probably executed.