That's the fun part of the scene its completely open ended. Nick hidden around the corner purposely unplugs the headphone so the music is heard and then lets Judy catch a glimpse of his tail as he walks off. If this happened right after they first meet he is probably poking fun at her but if this happened after the night howler case well is Nick just poking fun at her or not? Although I think most fans would vote on the side of definitely not.