Well, any reader might come out with a different theme from the same work, so you need to remember that when we think about the theme or the message of a particular text it is going to be subjective. However, for me, one of the key themes that I take from this excellent short story is the violence and cruelty of the hunt. I find it very interesting that at the beginning of the story, when Rainsford is talking to Whitney about his excitement of being able to hunt jaguars in South America that they have the following conversation:
"The best sport in the world," agreed Rainsford.
"For the hunter," ammended Whitney. "Not for the jaguar."
"Don't talk rot, Whitney," said Rainsford. "You're a big-game hunter, not a philosopher. Who cares how a jaguar feels?"
"Perhaps the jaguar does," observed Whitney.
"Bah! They've no understanding."
"Even so, I rather think they understand one thing - fear. The fear of pain and the fear of death."
This conversation becomes highly significant in the light of the rest of the story, as Rainsford's easy division of the world into the hunted and the hunter is questioned when it is he who becomes the hunted and is put in the place of the jaguar who he would have been gleefully hunting. To me, this is one of the most important themes of the story as it exposes the view of the hunted rather than the hunter and questions the morality of hunting.
A key question to ask yourself would be how would Rainsford be different after his experience with Zaroff? I personally don't think he would give up hunting, but I do think he would have a far healthier respect for his "prey" and a realisation of what they are going through - because he has been in their position himself.
The theme of The Most Dangerous Game is mainly violence and cruelty.