For me, this was explained by the line where he says that he doesnt want them to turn him into some sort of monster that he is not. He doesnt want to become like the Careers, who have been trained for the arena and even seem to enjoy killing alot of the time. It is mentioned in the books that the winners have to have a dark side, because they have to be able to see the other tributes as the enemy, and not as human beings. Finnick even says that Peeta is the only one who may have become a victor by chance, because usually people who are as decent as him dont win the hunger games.
Even though Katniss doesn't understand at first she finally sees what he means after she makes her first actual kill. He was trying to say he didn't want the games to change the way he was and make him into a bloodlusting monster that the capitol wants him to be. He wanted to die Peeta Melark the boy with the bread not a pawn of the capitol.