He knows he belongs there, and doesn't seem to care much about their confusion about him arriving. He'd been through a fair amount of things, after all, and this was barely a mark. Being chased, dealing with the wolves, running about like a madman- all are things he finally hoped he would be done with as soon as he reported his findings.
"I'm not taking off the fur." he tells them in a direct tone. "It takes too long to get back on, after all, and the wolves may realize something is wrong if they see holes in it. For now, the pack thinks I am a perfectly normal canine." He smirks as he says that. It's been successful.
He didn't even say his name. They would pick up on who he was eventually. After all, only one of them had been sent out to infiltrate the wolves.
"And therefore I know some stuff. Things you might want to hear." And he pauses, keeping the suspense and confusion going.