Clearly, he was just mocking the twins at this point. In essence, he's saying: "I'm not afraid of you. I know that you're not acting by yourself. Stop wasting my time and let me talk to your boss".
Klaue: Yeah. The enhanced. Strucker's prized pupils. Want a candy? ...
Oh, sorry to hear about Strucker. But then, he knew what kind of world he was helping to create. Human life, not a growth market.
(Twins are visibly surprised)
You didn't know? Is this your first time? Intimidating someone? I'm afraid, I'm not that afraid.
Wanda: Everybody's afraid of something.
Klaue: Cuttlefish! Deep-sea fish, they make lights, disco lights, whomp, whomp, whomp, to hypnotize their prey, and then whomp! I saw a documentary; it was terrifying. So, if you're going to fiddle with my brain, and make me see a giant Cuttlefish, then I know you don't do business and I know you're not in charge and I only deal with the man in charge!
The first monologue says a lot. Klaue is more informed than Maximoffs and knows everything about them. He also knows that they are too inexperienced to track him down by themselves. Somebody's sent them to get something from him. He'd like to know more about this person.
When Wanda tries to scare him down, he mocks her with a deliberately silly fear of cuttlefish. This is his way of showing that he's not scared of her and her powers and wants to talk business.