It wasn't arrogance per se, but the fact that Klaus had just declared that none of his team members could get through his mental defence was too shocking.
Of course, Nyxthar, Eren, and Veylor believed him.
While this new version of Klaus wasn't the one they had followed, they knew enough to understand that the Paragon they had followed several years ago was still the same. And though his words sounded arrogant, he indeed had the strength to back them up.
Klaus was no simple person, and with 68 minds connected to form the Hivemind, he was indeed capable of creating a mental domain within a battlefield.
Of course, Klaus was only using three parts of his mind for this experiment, but it turned out his team members were much weaker mentally than he had expected.