"Snuffles", a novelette by R. A. Lafferty, first published in Galaxy Magazine, December 1960, available at the Internet Archive. You may have read it in one of these compilations. The story is exactly as you described it.
Snuffles is a bear-like creature who at first seems friendly to the astronauts exploring the planetoid Bellota:
Snuffles was a bear—possibly—and of sorts. The bear is himself a caricature of animalkind, somehow a giant dog, somehow a shaggy man, an ogre, and also a toy. And Snuffles was a caricature of a bear.
[. . . .]
Snuffles was not a bear exactly. He was a pseudo-ursine. He was big and clumsy, and bounced around on four legs, and then up on two. He was friendly, chillingly so, for he was huge. And he snuffled like some old track-eating train.
He was a clown, but he seemed to observe the line that the visitors drew. He did not come really close, though often too close for comfort. He obeyed, or when he did not wish to obey, he pretended to misunderstand. He
was the largest animal on Bellota, and there seemed to be only one of him.
And in a moment benignity seemed to drain away from that planet.
Snuffles had before made as if to cross the line, and then scooted off, chortling in glee, which is perhaps why the careful John Hardy was not at first alarmed.
Then Snuffles charged with a terrifying sound.
But Hardy was not tricked entirely; it would be impossible for man or beast to trick him entirely. He had a split second, and was not one to waste time making a decision, and he was incapable of panic. What he did,
he did of choice. And if it was a mistake, why, even the shrewdest decision goes into the books as a mistake if it fails.
He was fond of Snuffles and he gambled that it would not be necessary to kill him. It was a heavy rifle; a shoulder shot should have turned the animal. If it did not, there would not be time for another shot.
It did not, though, and there was not. Commander John Hardy made one mistake and for that he died. He died uncommonly, and he did not die from the inside out, as meaner men do.
It was ghastly, but it was over in an instant. Hardy's head was smashed and his face nearly swiped off. His back was broken and his body almost sheared in two. The great creature, with the foot-long canines and claws like twenty long knives mangled him and crushed him and shook him like a red mop, and then let go.
Having killed the rest of the astronauts, Snuffles is chasing the last two around the planet:
Then it was like black thunder coming out of the valley after the other two, for that clumsy animal could move. They had a start on him, Brian and Georgina had, of a hundred yards. And soon their terror subsided to half-terror as they realized that the shoulder-shot bear animal could not catch them till they were exhausted.
In a wild run, they could even increase their lead over him. But they would tire soon and they did not know when he would tire. He had herded them away
from the campsite and the weapons. And they were trapped with him on a small planet.
Snuffles talks to them in their heads about how he created the world:
"Snuffles is cranky with me today," said Georgina Chantal. "Is he also cranky with you?"
"Yes," said Brian Carroll.
"He says that he made Bellota. Did he tell you that too? Do you believe it?"
"He told me. I do not believe it. We are delirious. Snuffles cannot communicate."
"You keep saying that, but you aren't sure. He told me that when he chews us up he will take a piece of me and a piece of you and chew them together and make a new thing, since we are belatedly taken with each other. Isn't that nice?"
"I wonder why he made the grass so sharp, though. There is no reason for it to be like that."
"Why, and what?"
"Snuffles. Why did he make the grass so sharp? My shoes are nearly gone and it's killing me."
"Georgina hold onto what's left of your mind. Snuffles did not make the grass or anything else. He is only an animal, and we are sick and walking in delirium."
So they walked on a while, for evening had come. Then the voice of Snuffles came again inside the head of Brian.
"How was I to know that the grass should not be sharp? Are not all pointed things sharp? Who would have guessed that it should be soft? If you had told me gently, and without shaming me, I would have changed it at once. Now I will not. Let it wound you!"
Brian and Georgina circumnavigate the small world before they get killed:
"Brian, do you think that Snuffles knows the world is round?"
"If he made it, he must know it."
"Oh, yes, I had forgotten."
"Dammit, girl, I was being ironic! And you are now quite nutty, and I hardly less so. Of course he didn't make it. And of course he doesn't know that it's round. He's only an animal."
"Then we have an advantage back again."
"Yes. I'd have noticed it before if I hadn't been so confused. We are more than halfway around the little planet. He is no longer between us and our weapons center, but he behaves as though he thought he was. We have no more than forty miles to go to it. We will step up our pace, though gradually. Our old camp valley is prominent enough so that we could recognize it within several miles either way, and we can navigate that close. And if he
seems to say in your mind that he is onto our trick, do not believe him. The animal does not really talk to our minds."