It's very low risk, since Frank is kind of stamped with the New York seal of authenticity. He inclines his chin a little in confirmation, although the idea being floated here doesn't exactly fill him with glee. Makes him feel like he's being collected, which is distinctly unpleasant.

"Private security." Not really, but it works as a euphemism. The lie comes out practiced and easy precisely because it's not a complete lie, which is always the best way to go about lying. "Freelance. You?"