There are several themes for this short story, but most important among them would be the theme of cruelty and violence, the theme of morality, the theme of individual versus society, and the theme of revenge.
Cruelty and violence are manifest in that Zaroff and his crew purposefully lure people to their lair in order to hunt them down like animals.
Morality comes into play since Rainsford is a renowned hunter in his own right, and he recognizes Zaroff as the author of a book about hunting. However, Rainsford sees Zaroff as immoral and his "recreational hunting" as murder. It is not honorable in any way.
Individual versus Society comes into play as the society is Zaroff and the inhabitants and fellow hunters of the island. They obviously work together to set up the hunt and to trap the hunted...the individual...who is fighting for his life in the ultimate game of survivor.
Revenge is obvious because Rainsford wins the game. He does what he has to do in order to survive--kill or be killed. The question is: is it really revenge or is the result a necessary evil. Did Rainsford premeditate his actions or was it pure instinct? As the reader, you alone will have to come to your own conclusions.