He loved bears to a tragically high degree; to the point where he felt that love was enough to protect him from the bears and vise versa. Bears are wild animals for a reason.
And it's not just that they were eaten by bears. The audio itself is six minutes long, during which Treadwell is alive and conscious while being gored, which means that the attack was neither quick nor painless. Treadwell's girlfriend tried to fight the bear off but failed, powerless to stop the bear from dragging Treadwell into the woods, and left alone by herself before the bear came back for her. Here's the wikipedia description of what was left of them: "The mangled remains of Treadwell and Huguenard were discovered quickly upon investigation. Treadwell's disfigured head, partial spine, and right forearm and hand, with his wrist watch still on, were recovered a short distance from the camp. Huguenard's partial remains were found next to the torn and collapsed tents, partially buried in a mound of twigs and dirt." It's the most horrific sort of death imaginable.
What's particularly scary about Herzog's reaction to the audio is the very quiet way he says, "Turn it off," when he's finally had enough. There's something artificial about his calm that seems to indicate he's trying very hard not to freak out. Werner Herzog is freaked out. Eventually you see tears coming from his eyes and his hands trembling from the tape.