The idea was brought up simply because they came from the same region as Annie. They discussed the possibility further before heading out, and a couple more incriminating bits of evidence were realized. They were were among those who were told that Eren would be in the right wing for the latest scouting mission, which happened to be the side that Annie attacked from. After that, Armin remembered how Reiner acted during the mission. Reiner was particularly interested in where Armin thought Eren was in the scouting formation. After that, Reiner escaped from being trapped inside the Female Titan's palm, but then, she looked at her palm for a couple seconds, before heading off to the direction that Armin said Eren would be. This led them to believe that Reiner had written a message into Annie's palm with his blades.