From your picture in the signature it looks like we are talking about either a golden or a flat coated retriever. Either or it doesn't matter, the hunting instinct is very strong and a chase to catch the prey makes it even better. These breeds also have great noses and can smell critters before they even see them.

As Carrie stated this is natural instinct and does not have a reflection on you except to make you mad and / or embarrassed when you can't control the dog from doing this. From a hunting standpoint here is what I would do:

Make sure the dog is well versed in basic obedience commands such as sit, down and come. These need to be done every time you request in all kinds of situations. If your dog doesn't have a handle on these then obedience school can help. When my Dixie or Dusty (both Goldens) are away from me, I can give either a sit or a down command. I usually use a sit in this situation to get the dogs attention and so they can see me better. Then by my tone and body language they can tell I am not too happy. At this point I make sure we have eye contact and give them a "LEAVE IT" command. Next I call them to me and when they come I praise them like crazy and / or reward them with a treat.

I also have a cat so getting them to learn to play gentle with the cat is something I also needed to work on.