It's not just for serious conversations; Korra's a little overwhelmed by the noise of the club. She loves dancing, but she's not used to these kinds of crowds. She kind of needs a break.

She ignores his question in favor of continuing her own line of inquiry. "Do you remember anything more about what happened to you? That weekend before the ghouls?" She still doesn't understand what Hei could have done to make him forget. If she thinks about it, it's creepy.

But probably better for Chekov. Korra's life has gotten infinitely more complicated since finding out Li's secret, and while not all the results were bad... she doesn't want that for Chekov.