Also, maybe the most important part, he knows for a fact that there are people who no matter what you do to them, they won't die. He knows there are immortals out there, and faced with a situation where it might be possible for him to learn how to obtain immortality, he doesn't give a damn. Why would he need their second-rate immortality when he already knows that no matter what, he won't die? The only thought that crossed his mind when he heard that was probably how he was complementing himself of having thought that thing up.
There is however one point of his that has left me doubtful on what to think. I believe that fear, or rather, the way a character handles fear, is an important factor in being manly. Seeing as Claire believes himself to be immortal I think it's safe to say that he does not fear death, or at least he does not fear it conciously. As I see it there are about two scenarios on how 'his fear' works. It could be as simple as mentioned above; he considers himself unkillable just because no one has ever been close to killing him. In this case it would be interesting to see him in a situation where he is actually forced into a corner and see him handle that. It would certainly be disappointing if he'd break down á là Light, I'd almost go as far to say that if he even for a second doubts his supposed immortality that'd make him much less awesome.