Finn was more than a little confused and quite a bit afraid. And why wouldn't he? First, he had all of his spider-bots hijacked, then most of his savings were drained, and as if that wasn't enough, he was then forced to get into a shady-looking van and stay still as it drove to who knows where.
As he listened to the round giant ramble on and on about a backstory he made up on the spot, it dawned on him that he was being kidnapped in the old-fashioned way.
Well, technically speaking, it's not a kidnapping, since he went with them of his own accord. Still, even though what Tomato Head told him before they left the parking lot piqued his curiosity, he wasn't so naive that he would follow around the guy who threatened him with murder for no reason.