WARNING: Major SPOILERS ahead for Star Wars: The Rise of Skywalker.
Finn wanted to tell Rey something seemingly important in Star Wars: The Rise of Skywalker, but unfortunately, he never got the chance. While the film didn't reveal what it was, there are a couple of distinct possibilities as to what he was meaning to share considering their history together and what's happening in the film.
Two of three main trio in the sequel trilogy (the third member being Oscar Isaac's Poe Dameron), Rey and Finn's journey as members of the Resistance started almost at the same time. Meeting in Jakku after Finn's escape from the First Order as a former Stormtrooper, they both joined General Leia Organa and her cause to fight the evil Supreme Leader Snoke and his minions. They didn't get to spend much time together in Star Wars: The Last Jedi, but their bond remained tight leading into the events of The Rise of Skywalker where they, alongside Poe, spend the most part of the film together.
Throughout their latest adventure, there were numerous times that Finn attempted to tell Rey something and in all scenarios, he's cut off. Star Wars: The Rise of Skywalker never got the chance for the two of them of have a one-on-one talk, leaving fans curious what it could be about. Considering that number of instances that Finn wanted to bring it up, it's safe to say that it's something quite important.
Finn Wanted To Tell Rey He Loves Her
The first plausible scenario is that Finn wanted to confess his love for Rey in Star Wars: The Rise of Skywalker. From the moment they met, there was an instant bond between the characters, although it was clear then that Finn was more smitten with Rey than the other way around. While there was never a confirmation that Finn was romantically attracted to Rey, much of the former Stormtrooper's arc revolved around his instinct to keep her safe. If it wasn't for Rey's commitment to the Resistance, he would've fled and turned his back on the cause against the First Order. This could also explain why nothing came out of the potential love line between Finn and Rose (Kelly Marie Tran) despite the latter professing her love for him in The Last Jedi.
Finn Wanted To Tell Rey He Has The Force
Another possibility is that Finn was trying to tell Rey that he too, like her, has the ability to use the Force. This particular tidbit was only revealed in Star Wars: The Rise of Skywalker - albeit not in an explicit manner. The film was peppered with evidence that he's Force sensitive including how he instantly knew that Kylo Ren (Adam Driver) is coming for Rey and which Star Destroyer hovering over Exegol had the fleet's aviation system. Similar to how Rey felt when Leia (Carrie Fisher) and Luke (Mark Hamill) passed away, Finn felt it when the his scavenger-turned-Jedi friend briefly died following her duel with the returning Emperor Palpatine (Ian McDiarmid). He also constantly referred to the "feeling" he had on certain things that proved to be correct.
Given that Rey's the only person he has direct contact with that's also Force-sensitive, perhaps Finn was reaching out for guidance. It's also worth noting that in the Star Wars: The Force Awakens' posters, Finn was also armed with a lightsaber, giving fans the impression that he'll be a Force-user in the narrative. That didn't come to fruition in The Last Jedi, but with J.J. Abrams' also helming Star Wars: The Rise of Skywalker, maybe this was his way of fulfilling the arc he intended for Finn.
