Katniss wants to remain strong and independent as she journeys to the Hunger Games. She already feels a indebted to Peeta because of the bread he threw her when they were younger. Katniss knows that she is going to have to kill or be killed in the arena. She doesn't want to owe Peeta anything and she doesn't want to accept favors from anyone either. The cookies remind her of the luxuries her family has always done without. She thinks about how much her sister would like the cookies and wishes she could be home again. The baker promised to look after her sister which only adds to the debt she owes Peeta. In short, Katniss throws the cookies out the window because she doesn't want to be reminded of how much she owes to Peeta and his family. She knows they will soon be enemies in the arena and she can't bear the thought of owing him a debt.
She already feels as if she owes something to Peeta and doesn't want to owe him anything else. She wants to be strong and independent and since they will soon be enemies in the battlefield she doesn't want it to be hanging over her head that she needs to owe Peeta something.