Why does Rainsford say "I am still a beast at bay" in the last scene of the short story "The Most Dangerous Game"?
By using the hunting term "at bay," Rainsford means that his life is in jeopardy as long as Zaroff is alive, even if for the moment he has the upper hand. Nothing short of killing Zaroff and eliminating his rival in a definitive way will assure Rainsford his safety and get him off the island. Until then, he is held as a fox cornered in a hunt, with the hounds closing in, and his only recourse of action is attack.
Rainsfords says these words in the last scene when he ambushes Zaroff where he least expects - in his own bedroom back at the castle. Understood is that fact that Rainsford then "finishes him off" since he sleeps in Zaroff's bed that very night. The fact that Rainsford mentions that he slept very well also suggests that perhaps his own conscience (as Zaroff's naturally is) has been hardened through this harrowing "win all/ lose all" experience.
At the end of the short story, Rainsford sneaks into Zaroff's room and surprises him after being hunted for three days. Zaroff is initially startled, then congratulates Rainsford for winning the game. Rainsford responds by saying, "I am still a beast at bay... Get ready, General Zaroff" (Connell, 15). The term "beast at bay" is an idiom associated with a trapped animal's defensive instinct. Essentially, Rainsford is telling Zaroff that he still feels like he is a cornered animal that is willing and ready to fight. Rainsford feels as though he is a "beast" because he has been hunted for three consecutive days like an animal and is finally ready to strike. Similar to a trapped animal that is "at bay," Rainsford chooses to fight Zaroff to the death rather than accept the terms of their agreement. The last sentence of the short story implies that Rainsford has defeated Zaroff by killing him in his bedroom.