Sam was tempted to just keep walking after his comment, see if Theo was going to follow him (he predicted he wouldn't once it became clear he was going to Zeph's house: he wasn't sure why, but a lot of the local crooks seemed to have a respect for his host)...but something stopped him and made him want to reply despite his stutters and anxiety. Maybe a chance to dispel some of the anger he felt elsewhere.
"B-Because I was scared you'd h--hu-hurt me if I didn't." He said, motioning around to the dock: presumably Theo knew the kind of things that happened there in the dark corners. "I c-could do the exact same trick...b-but I'm....I don't w..wan..want to trick people." Admittedly if he was trying to avoid a beating he was now really going against that goal, but he'd made his moral line in the sand now.
