what she means:
finnick odair is viewed widely as a superficial character who was only self-obsessed and okay with being a killer, but really he survived the hunger games as the youngest ever winner, went through that much trauma and survived at 14 years old, grew up to fall in love with an emotionally damaged girl who had gone through what he had, yet she had turned out more externally damaged, grew close with a sweet old woman, was willing to protect her with his life and literally physically carried her on his back in the games, despite the risk to himself, stood with the rebellion against the Capitol even though he was their darling, publicly defied and spilled secrets about the president, married that same damaged girl he loved even in the middle of a war and had a child who he never got to meet, helped a psychologically damaged and unrecognizable Peeta and defended him, protected his friends and team against the lizard mutts, and actually begged for Katniss to throw a bomb down where he was, because he knew that it would save her and the rest of the team, even though he would die.
“I can’t believe you didn’t rescue Peeta.” “I know,” he replies. There’s a sense of incompleteness. And not because he hasn’t apologized. But because we were a team. We had a deal to keep Peeta safe. A drunken, unrealistic deal made in the dark of night, but a deal just the same. And in my heart of hearts, I know we both failed.