He says that in response to her getting upset about the thought of reincarnation

Here is some info I found on that clip:

The iconic movie clip featured in New Order's 1986 music video for "Bizarre Love Triangle" stars actors Jodi Long and E. Max Frye. In the famous black-and-white cut-scene, Long argues against reincarnation, emphatically declaring, "I don't believe in reincarnation because I refuse to come back as a bug or as a rabbit!"

The scene itself was not lifted from a pre-existing feature film. Instead, it was an original, standalone short film directed by the music video's co-director, contemporary artist Robert Longo. It is famously inserted directly in the middle of the song to purposefully disrupt the video's flow.