In this particular story my difficulty has a great deal to do with the reticence of the narrator, who is perfectly willing to share intimate details of his life if they cross his fictional mind but who stays almost wholly silent about his reasons, or justifications, for the decisions he makes during the story. The same goes, in fact, on what I'd call a metatextual level if the word weren't so laden with obnoxious usage, for Dunn: take for example the narrator's self-chosen name, which is Zarathustra ("but you can call me Zee; if you will call me anything") — signaling, no doubt, any number of references that go over my head (I haven't read Nietzsche, though, unlike many grown adults on "the left" [or whatever], I'd like to) — "but it is only a word I picked out of an old book, because I liked the sound." Especially in combination with the earlier reference to "what little reading I've done" (you've only done a little reading and one of the books you read was Thus Spake Zarathustra?) I'm choosing to interpret this as a joke of sorts, though whether on Zee's part or only on Dunn's I can't say.
In the absence of explanation even antecedents become difficult to trace ("I remember the last time I tried this," Zee says, and I'm not completely sure what "this" is, even though I am witness to what he is doing). The clarity and simple motivations that a typically plot-based reading would ask us to look for — primarily: when, how, why, and to what extent do Zee's intentions toward the young thief he's hunting change (for that matter, what were they to begin with, exactly) — aren't here, to my reading (in writing this I keep having the nervous feeling that maybe the story is completely obvious and I'm just being dense), and in their absence the reader is free, not to come up with their own (though there is evidence that could be mustered, and I do have my own favored ideas) but to recognize that the whole literary construct of "motivation" is just that, a construct, seldom bearing much relation to the lives we live.
And it all takes place against a half-glimpsed context, the conquest (by unclear methods) of earth by alien "Benefactors" who have (for unclear reasons) removed the planet from its orbit, sending it on a journey (to unclear destinations, if any) during which it grows ever colder as the sun grows more distant, its atmosphere bleeding away, its population dwindling (though some "grow new 'lungs'" and make other adaptations — by what means and to whose ends is left ambiguous). The elucidation of all this could easily have been "the story" but it is not; and when the story ends, suddenly, with an almost van Vogtian shift in scale, it manages somehow to be both vertiginously irresolvable and cathartic in the least complacent sense of the term.