This is a good question. The big paradox in the short story is that roles are reversed. In fact, there is a double reversal. 

Here is the context. Rainsford (a hunter) and his friend are on a ship headed towards Rio de Janerio.  Rainsford is a famous hunter who has caught a lot of big game. Rainsford accidentally falls into the water and he swims towards the shore and safely arrives. There he meets a man named General Zaroff.

At first all seems well, but Zaroff is twisted, and he wants to hunt Rainsford. This is the first paradox. The hunter is now hunted. In this sense, Rainsford gets a taste of his own medicine. During the process, Rainsford knows that he needs to do something. So, he now goes on the offensive. He begins, therefore, to hunt Zaroff and his servant, Ivan. This is the second paradox. The hunted becomes the hunter, and the hunter unwittingly becomes the hunted. In the end, Rainsford wins.