Thunberg made the remark as she left early from a panel discussion with U.N. Climate Envoy Mark Carney, taking place on the sidelines of climate talks in Glasgow.
Activists from Greenpeace also protested at the event with signs calling the task force "a scam."
One climate activist drank an oil-like substance outside, to call on countries and corporations to deliver on climate promises at the COP26 summit.
Video of the dramatic action showed a protester dressed in a shell uniform pouring black liquid into the mouth of a fellow activist who kneeled on the ground as she spluttered and struggled with the substance.