Cats seems to be the only animals in the game that you can't kill. I approve.
There are a fair number of animals you can't kill. None of the pets, which of course includes cats, but also dogs and monkeys. You also can't kill the horses you see in stables, and I believe, although I'm not positive, that you can't kill the livestock at farms. Oh, and you can't kill the senche-tigers, at least not the friendly ones that are kept as pets by NPCs. But are these senche-tigers really animals, or are they Khajiit? In the words of the wise wizard who's in charge of the lore for the game:
Q: The Senche-Tigers. These aren't the true khajiit Senche are they? They're no where near big enough. I always envisioned them with bodies like Sabrecats but as tall as an Altmer at the shoulder.
A: The in-game answer is that the differences between Senche, Senche-raht, and senche-tigers are confusing and hard to understand for everyone but Khajiit. Furthermore, Khajiit seem to sense an intelligence in senche-tigers that other races do not, but since senche-tigers don’t speak, their intelligence is hard to assess. We WILL be adding senche-tiger mounts sometime soon, but they’ll be just slightly larger than their wild counterparts, NOT the gigantic felines described in some of the lore.
The out-of-game answer to the question of Khajiiti subspecies is that depicting wide variation among the cat-folk runs smack up against an Elder Scrolls standard, which is the expectation that characters of any race can use all available arms and armor. We can deviate only so far from the humanoid standard before it becomes a problem when donning equipment.
Well, that totally clears everything up.