The question asks which of the listed animals is a wild animal (un animal sauvage). The answer is Le lion (the lion).
In French, animals are classified as either animaux domestiques (domestic animals) or animaux sauvages (wild animals):
Le lion (the lion) is a wild animal that lives in the savanna and grasslands of Africa. It is not domesticated.
Le coq (the rooster) is a domestic farm bird raised for eggs and meat.
La chèvre (the goat) is a domestic farm animal raised for milk, meat, and skin.
Le chat (the cat) is a domestic pet animal.
The lion is the only animal in this list that lives in the wild and is not kept as a farm animal or household pet. In French vocabulary exercises, being able to distinguish animaux domestiques from animaux sauvages is a common requirement.