You see that right there? You see Finnick’s impression as he tries to handle the fact that his one true love has just been kidnapped by the Capitol and they have no clue if she’s alive or what they’ll do to her. As Katniss asks where Peeta is, Finnick turns aways. He doesn’t want to be the one to tell her that Peeta has been taken to the Capitol just like Annie. He doesn’t want to say it out loud. It would make it too real to handle. Handle that when he get’s out of the arena, Annie won’t be there waiting.