First, it was not General Zaroff who uttered the quote in question from "The Most Dangerous Game": It was Sanger Rainsford, who was being hunted by Zaroff, who, trying to calm his nerves, nervously said,
"I will not lose my nerve. I will not."
Rainsford had just seen for himself the uncanny tracking ability of Zaroff, who tracked him through the woods at night. When the general smiled and then turned back, Rainsford realized that Zaroff had known he was near and had deliberately returned to his home so he could extend the hunt on the next day.
The general was playing with him! The general was saving him for another day's sport! The Cossack was the cat; he was the mouse. Then it was that Rainsford knew the full meaning of terror.
Rainsford would call up his nerve again later in the story when he attempted to make a final escape from the Cossack.