Neo's response can be considered the wrong thing to do because he is giving false information in order to cover up his true intentions. By pretending to be the new budgeting clerk from the accounting office, he is deceiving the man in the grey suit and potentially causing confusion or suspicion. This could lead to further complications or consequences down the line. It would have been more appropriate for Neo to be honest about his intentions and perhaps give a more vague response if he did not want to disclose his true identity or purpose.
