What would a real terrorist say? Most likely, they would try to act like regular people. And apparently regular people say those things. But what a terrorist might say is not the point.
The point is, referring to yourself as a terrorist, in jest or not, to any type of security, police, or military is a sure-fire way to end up being detained. That is how they are trained. Can you imagine if he had joked about being a terrorist when on the plane and was overhead by a skittish flight attendant? I imagine the situation would have been ten times worse. And even if said in the most light-hearted manner, you never know what the attitude of the person will be who hears it. I don't know, to me, it just seems common sense not to make a comment like that. It's like saying to a police officer in Texas, "Why did you stop me, officer? Was it the body in the trunk? Yuk, yuk yuk!" You'll be the girlfriend of a very large scary man referred to as the Pain Man faster than you can say "lubricant".
"What can you expect from a bunch of seitan worshippers?" - Reginald Tresilian