Yep. Context is the whole Springfield thing, Vance referred to the Hatians legally there as illegal immigrants, he was corrected, then his response basically amounted to 'But I don't like the method they're using to be here legally, so I'm going to call it illegal'

The actual response to being fact checked was:

Margaret, the rules were that you were not going to fact check and since you’re fact-checking me, I think it’s important to say what’s actually going on…

And then followed up by:

After a few lines from Vance and an attempted interjection from Walz, the microphones were muted as the men continued talking over each other.

“The audience can’t hear you because your mics are cut,” Brennan told the candidates. “We have so much we want to get to.”

Source

I'm pretty sure he said " the rules were that you were going to fact check, this isn't fact checking" or something to that effect. He was accusing the moderators of being argumentative.