By this, General Zaroff means that once a person has mastered a skill, it is no longer interesting. For example, if one can always win at chess, playing the game no longer provides a challenge.
Zaroff is, however, alluding to big game hunting. He is an older man, and he confides to fellow hunter Rainsford that there is no animal left that it is a challenge for him to hunt—except one. Rainsford realizes to his horror that the only species Zaroff now enjoys hunting is human beings, because they have the gift of reason.
Zaroff is a portrait of a wealthy aristocrat of highly refined tastes who suffers from ennui or world-weariness. He doesn't need to work, and he can gratify every sensual desire. He thus finds himself casting around for new thrills so that he can feel alive. Unfortunately, he lacks a moral compass and thinks little of most human beings, so it is easy for him to hunt them in cold blood, as he once did his animal prey.
Zaroff believes he has his world orchestrated so that he can't lose. He reveals this when he talks about meeting Rainsford for a drink, if Rainsford survives the hunt in which he is an unwilling participant. However, Rainsford turns the tables by not only evading Zaroff but turning him into the prey that he then kills—perhaps releasing him from an empty life.