Yeah, you should run if they ask that
For context, the ARCTOS is an organization that helped create the other two that are named here and that is among the big red, aka a list of organisations considered terrorists but so effective at stopping it's opponents that they are mostly in a no involvement policy world wide.
The fact that the other two organisations are on the same list at slot 2 and 3 should also be concerning for everyone who tries to mess with them, regardless if they know how to stop ARCTOS and are actively trying to do that.
The fact that ARCTOS head is what you might consider entropy itslef, the biblical snake, the origanal demiurge and fate herself should also be concerning for whomever tries to mess with them
The fact that ARCTOS has among it's members known deities and mithological figures should also stop them
And yet the biggest deux ex machina ARCTOS could pull on someone is that question because they became so accustomed to the effects of it that they purposely ask it after you explain yourself to them, because they do follow the rule of chaotic opportunity
Eddit: most of the time that opportunity isn't their super powers or the fact that they are divine beings or close to a divine being compared to the average Joe, it's actually the fact that they will most likely use brute force on you to comically extents. For example between stopping you to blow half the planet with your nuke and doze the storage for said nuke, they'll chose the later and make a mess worse than the nuke going off would, just by using guns and dozers