Flu Vaccinations

I took the boys to get their flu "mist" which most of you know is a spray in the nose instead of a poke with a needle. The nurse and I were both surprised when Felix requested the shot instead of the mist. We asked him over and over if he was sure, and he said he was so, Felix got the shot instead. When the nurse was about to poke him he said, "Why did I ask for this?!" Later he told me he chose it because he wanted it to hurt. Should I be concerned about that??