The creature Zaroff is hunting is other humans. Zaroff finds them to be the only prey that will satisfy his demands for a good hunt, because he's never encountered an animal that truly challenged him. In his perspective, humans are the only worthy animal that he hasn't hunted, as well as the only ones capable of reason. He thinks this will make a hunted human more intelligent and therefore difficult to hunt than an animal, since an animal is nothing more than instinct.
Unfortunately for Zaroff, this rarely turns out to be the case, as most of the humans he's hunting have been taken from passing ships, and in his words, are lower-class trash, with little intellectual ability and no real means of challenging him. He mentions one Russian who put up a bit of a challenge and managed to kill one of the dogs, but that was all. This is why he's so excited to involve Rainsford - because Rainsford knows what Zaroff is talking about, and knows hunting himself, and will therefore provide an actual challenge.
The reason that Zaroff believes his new prey is so much more dangerous than other prey is because his new prey is not dependent on instinct. Zaroff's new prey is humans, and Zaroff states that humans can use reasoning in addition to instinct. That combination is what makes humans so much more dangerous to hunt.
"Precisely," said the general. "That is why I use them. It gives me pleasure. They can reason, after a fashion. So they are dangerous."
Zaroff has grown bored with hunting some of the biggest and most dangerous animals in the world. He believes it has become too easy to hunt those creatures because they operate on only instinct.
"No animal had a chance with me any more. That is no boast; it is a mathematical certainty. The animal had nothing but his legs and his instinct. Instinct is no match for reason."
I need to give Zaroff some credit. He saw the cause of his boredom, and he found a way to fix it. With that said, his solution is morally reprehensible. Humans might be classified in the animal kingdom, but that doesn't make hunting them a legitimate sport. Rainsford states as much when he says that Zaroff is murdering men, not hunting prey.
"Why should I not be serious? I am speaking of hunting."
"Hunting? Great Guns, General Zaroff, what you speak of is murder."
From a completely objective point of view, I suppose Zaroff is correct about a human's capability to reason being dangerous. That characteristic is what allows Rainsford to beat Zaroff. Zaroff is correct that Rainsford is dangerous because of his intellect, and Zaroff pays with his life for being correct.