In Chapter 8, Finny tells Gene that the "war stuff" is a myth. He states that American is not truly "in a state of war with Nazi Germany and Imperial Japan." He claims, "there isn't any war." So, he convinces Gene that he needs to start training for the Olympics.
His theory is that the war is fake, a conspiracy concocted by "fat old men" who don't want the younger generation "crowding them out their jobs." These fat old men are enjoying themselves while the young men are fighting this pretend war.
Later he confesses to Gene that he never believed this theory. He knew there was a war. He created this story because he had tried to enlist but because of his injury was unable to. Gene's telling Finny that he would be no good in a war because he was not a killer, was not ruthless, was one of many truths that the two young men confront in the novel.