Go ask one to its face. It'll either be mad that you implied it's less than human, or it'll be mad that you implied humanity is somehow on par with it.
I'm personally of the opinion that air coolers are sufficient for most chips and builds, AIOs are better in smaller systems or with ridiculous things like the 14900K. That said, the 7800X3D does have a higher TDP and will potentially draw more power than the 9700X, so it's less overkill than it would be for the 9700X. Ultimately, if you prefer an AIO and don't mind spending the extra money (which it's not like you're on a super tight budget here given your choice of CPU and GPU), there's nothing inherently wrong with using an AIO on either of these CPUs.
When you say you want a 4080 or 4070 Ti, I hope you mean the Super version of either of those, because the prices are much more favorable for the Super versions than the base versions, at least based on the listings on PCPP.
If you already have that AIO that's fine, otherwise that's just overkill for the 9700X. For half as much money as that AIO or even less, there's a number of air coolers from Thermalright, ID-COOLING, Arctic, or Scythe that can get the job done.
Maybe the horse was just mad that the bartender didn't take its order first before launching into a joke