I asked a dane about it and she said that "this is a lion" is also correct. 'Det' can means both things.
However, duolingo is probably suggesting 'that is a lion' as the correct form because you wouldn't be able to say 'this is a lion' close to a lion that has a notorious fame of eating people (as we learn in many exercises) :P
An important note on this that I feel needs to be heard:
"Dine løver" are what you keep in your basement den to throw your unwanted guests to. More than one is okay here.
"Din lover" kisses you goodnight before going to bed. There had better be only one of these.
Do NOT confuse the two in any way, or you will be having a bad time.