"Neither do I, honestly," Anakin admitted. Even though Luna had just admitted to not knowing which direction to find food, Anakin decided to follow her when she started in a particular direction. They would likely have a better chance of finding food if they started in a direction over just standing there talking about it.
So the direction Luna decided to head toward was better than nothing.
"What all is there to do here?" he asked. "I am unfamiliar with this time and place, so I am not sure of what we can do and what is frowned upon."