Peggy can't resist rolling her eyes, even though she's reasonably certain no one can see her anyway. Whoever this man is, either he has a death wish or he is completely lacking in fear or self-preservation. Perhaps it's all of the above.

"Considering I can't see you, I suppose I'll just have to take you at your word," she replies, trying to stay as close as she can. It's harder than it looks, when the person she's following is invisible. And if Steve thinks he's going crazy, then Peggy's right there with him. Nothing about this makes sense, yet there's no time for questioning it.