He may have just assumed it the FBI were involved based on the fact that the Gecko's had robbed a bank.
Clearly the brothers are on the run from 'regular' law enforcement but Seth tells/asks Jacob
Now, stop me if I'm wrong, but I take it you don't give a shit about seeing me and my brother receiving justice, or the bank getting its money back. Right now all you care about is the safety of your daughter, your son and possibly yourself. Am I correct?
The FBI has had a primary role in bank robbery investigations since the 1930s, when John Dillinger and his gang were robbing banks and capturing the public’s imagination. In 1934, it became a federal crime to rob any national bank or state member bank of the Federal Reserve System. The law soon expanded to include bank burglary, larceny, and similar crimes, with jurisdiction delegated to the FBI. Today the Bureau, while continuing to provide assistance to state and local partners investigating bank robberies, focuses its investigative resources on those suspects who post the greatest safety threats to the public, including the most violent and/or the most prolific serial offenders who often cross jurisdictional boundaries.