Why does Zaroff invent a new kind of game?

Zaroff invented a new animal to hunt because he was bored and wanted a challenge.

"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. When I thought of this it was a tragic moment for me, I can tell you."
Rainsford leaned across the table, absorbed in what his host was saying.
"It came to me as an inspiration what I must do," the general went on.
"And that was?"
The general smiled the quiet smile of one who has faced an obstacle and surmounted it with success. "I had to invent a new animal to hunt," he said.