The absurdity of someone being capable of creating animals aside, he did entertain the idea for... a brief moment before logic got the better of him. "I don't have the means to care for an animal." He reasoned. Where would he get food? How would it get medical attention in Asgard? He didn't have money to buy any of those things. Connor didn't eat, so he as unfamiliar with the process by which other people got food for themselves, let alone animals.