It's clear that he - indeed - has not heard of them. It leaves his initial reaction as something not quite unlike surprise, or confusion, his eyebrows drawing together into a frown, but then Eren continues, and--

Oh.

Hm.

Well.

That sure makes the confused expression lead outright into concern.

"Those.. exist in your world?" He doesn't even mean to doubt Eren here, really. It just seems like the very idea of it somewhat rattles Billy. It was bad enough to encounter the singular monster they did back home - and at least that had been relatively close to an animal. To have multiple giant things around that eat people.. "How is it possible for anyone to live among those things?"