Together with artists like Hans Deppe, Rudolf Platte and Robert A. Stemmle he founded the cabaret Die Katakombe with some friends in 1929. Finck acted as conferencier, and the cabaret, became successful because of his critical and subtly impudent remarks against the Nazis, proving to be an early thorn in their side. Finck had an ability to be seemingly lost for words when saying something and the audience, playing along, finished his sentences. He often defied authority by daring Gestapo informers in the audience to write down every word he said. According to an anecdote, Finck once confronted an officer asking with seeming innocence, "Am I talking too fast? Can you follow me or shall I follow you?".
