It appears that Millot is speaking about himself
In that scene, Susan runs madly through the night - when peasants see her, they take her for a ghost and hide in fear:
She ran lightly, unaware of any effort of her body [...] She heard a voice calling, "Hey! There!" and answered with a wild scream. So, he could call yet! He was calling after her to stop. Never! . . . She tore through the night, past the startled group of seaweed-gatherers who stood round their lantern paralysed with fear at the unearthly screech coming from that fleeing shadow.
Only Millot is ready to face her:
Suddenly a man swore loudly. He would go and see what was the matter. It had been a woman's voice. He would go [...]
A woman moaned. An old man said gravely: "Such things ought to be left alone." They went on slower, shuffling in the yielding sand and whispering to one another that Millot feared nothing, having no religion, but that it would end badly some day.
Susan thinks that Millot is her dead husband and runs further away, but the notion that he scared this "ghost" entertains him:
"Where the devil did you pass?" said an invisible man, hoarsely.
She held her breath. She recognized the voice. She had not seen him fall. Was he pursuing her there dead, or perhaps . . . alive?
She lost her head. She cried from the crevice where she lay huddled, "Never, never!"
"Ah! You are still there. You led me a fine dance. Wait, my beauty, I must see how you look after all this. You wait. . . ."
Millot was stumbling, laughing, swearing meaninglessly out of pure satisfaction, pleased with himself for having run down that fly-by-night. "As if there were such things as ghosts! Bah! It took an old African soldier to show those clodhoppers*. . . . But it was curious. Who the devil was she?"
So he means that all those superstitious peasants are afraid of ghosts, so it needs someone like him - an old African soldier - to show them there is no such thing, to show no fear.
As to why he is an African soldier - please remember that this story takes place in the XIX century France, which is a colonial empire. This means if he was a soldier, Millot would have most likely fought in Africa (i.e. during the conquest of Algier 1830-1847 or Senegal 1854-1865... or during one of many more interventions) or that he was born somewhere in French Africa. It has nothing to do with Africa being inferior - quite contrary, Millot thinks that he is better than the rest because he is the "African soldier"