Well, in their defense for asking-
When I was a teen, the local Rabbi offered a class on the History of Judaism. We attended a few sessions (I wish our attendance had been better!). EVERY time we went there was a "Baptist" man who came and spent half the class angrily arguing for Christianity & against Judaism with the Rabbi, while the Rabbi was very kind to him. It was a dreadful thing to have happen, and not a very good "testimony" as Baptists would say it.
Sadly, it might be a fair question for an outsider who just happens to drop by a Seder.
Incidentally, the Bible forbids them to have non-Jews at Seders, so many sects of Judaism simply wouldn't allow you to join them - and rightfully so.
Just reassure them that you're only there to learn/observe, and ask if that's okay