Sam doesn’t really believe him. It’s not that Dean lies, it’s just that sometimes he doesn’t tell the truth - and it’s not because he wants to, it’s just that he thinks he has to for some reason. Like with the monsters thing - he thought he had to keep it from Sam, so he did. And that’s okay. But why sparklers would be something he’d have to not tell the truth about, Sam isn’t sure.
“I don’t believe you,” he says, taking the gloves when his brother hands them to him, shoving one in each pocket, his tone serious but not accusing or grumbling or anything. He doesn’t want to bring things down when they’re about to go have fun - it’s just, you know, he doesn’t think that’s true, and he doesn’t want to leave it alone. Leaving things alone never really helps anything, it just makes things take longer to make sense.