He didn't care what the other party said, not afraid at all.
After all, those with nothing to lose fear nothing, this has always been a universal truth. When there's nothing you have that you need to worry about losing, naturally there are no concerns.
He wasn't tied to the High Celestial Plain in any capacity, not even nominally, and he wasn't an original inhabitant of this world. Naturally, he wasn't afraid of whatever afterlife the other party mentioned... It wouldn't even be surprising if this world's Underworld wouldn't accept him, so what was there to fear?
Moreover, from experience, he knew he would soon pat himself down and leave, taking his gains with him out of this Dungeon World... And if an accident occurred and he unexpectedly died before then, he'd probably be determined by the system as having failed the task and forcibly extracted from the dungeon, but with no real loss...
