It does sound ridiculous, and Finnick raises an eyebrow at her, but he's amused. He knows Katniss only likes to do things on her terms, so he assumes this team business is just more of the same. It's good, for her and for him. She's way more bearable when she's around people she actually likes.

"So, what do you do on this team?" he asks. "Protect the innocent? Beat up the bad guys?"