The oldest documented serial killer is likely Liu Pengli, king of Jidong beginning in 144 BC, whose murders are recorded in the Hanshu and the Shiji. He reputedly killed at least a hundred people for sport during his reign. The emperor was informed of his murders by a family member of one of his victims. Officials urged the emperor to execute Liu Pengli, but because Liu was related to emperor, he was only exiled from Shangyong and demoted to a commoner as punishment for his crimes.
The Shiji and Han Shu are available on the Chinese Text Project. Burton Watson has also translated the passage on Liu Pengli from the Shiji:
Liu Pengli, another son of King Xiao of Liang, was made king of Jidong in the sixth year of the middle period of Emperor Jing's reign. Liu Pengli was arrogant and cruel, and paid no attention to the etiqutte demanded between ruler and subject. In the evenings he used to go out on marauding expeditions with twenty or thirty slaves or young men who were in hiding from the law, mudering people and seizing their belongings for sheer sport. When the affair came to light in the twenty-ninth year of his rule i twas found he had murdered at least 100 or more persons. Everyone in the kingdom knew about his ways, so that the people were afraid to venture out of their houses at night. The son of one of his victims finally sent a report to the throne, and the Han officials request that he be executed. The emperor could not bear to carry out their recommendation, but made him a commoner and banished him to Shangyong. His territory was taken over and made into the province of Dahe.