The requirements for den creation are described in the CvSpellInterface.py file.
As far as I can tell with my non-existent programming skill, your wolf/bear/kitty cat has to fulfill the following conditions:
No-lairs game option must not be enabled.
The unit making the den cannot be damaged.
The plot can't owned by anyone (even you).
If there is more than one unit in the plot it won't work.
There cannot already be an improvement on the square.
The plot has to be able to support an improvement in the first place (I suspect this means no building on mountains or water).
Most importantly, there cannot be another lair of the same type within about 5 squares (vertically and horizontally) of where you want your new lair. This stops the map quickly getting covered by a solid mesh of tiger lairs, which would be kinda fun but would lag the game. So, if all the other conditions are fulfilled but it won't let you build, it means there's probably another lair within range.
Hope this helps.