This statement is ironic because Zaroff is claiming to be a gentleman, one whom the reader might predict is civilized and trustworthy. Zaroff, however, is anything but civilized when he hunts other people on the island. He claims to be a gentleman when he's a murderer in all actuality.
The statement is ironic because Zaroff is planning to hunt Rainsford and yet is still telling him "trust me". Upon realizing what Zaroff is doing (hunt humans) Rainsford becomes more and more aware of what is going to happen to him. The irony includes the question "Could Zaroff really be a gentleman when he traps and hunts his fellow humans?"