About fifteen years ago I read a short story about a man on a planet (possibly Mars or the Moon), travelling alone between bases. It's written in the first person and as he's walking across the planet, he's thinking to himself about this fearsome creature that preys on people. It sneaks up on them, makes some noise and then attacks them. Just as he turns the final corner of the canyon he was walking through and sees the door to the other base, he hears the creature behind him making its noise and the story ends.
It was in a short story collection but I don't remember the name of the story or the book it was in. Any help would be much appreciated.