He followed her without thinking about it. She was obviously in charge and taking the lead so he had no reason not to. When her claws came out, he paused just long enough to be freaked out, gulp, and make a mental note to never piss her off unless Magneto was around and willing to save him. PERIOD.
After she fell in stop beside him he nodded to himself to affirm the decision he'd just made while continuing slowly in the direction she was taking them. He shrugged again before answering, "Would you believe me if I said it was a secret government agency out to turn mutant citizens into their own personal weapons of espionage and destruction? Cause I'll tell you it's just my parents being dicks if you'd rather have the fantasy."