"The Hollywood Reporter" reviewer Kirk Honeycutt complimented the actors for making fun of their screen personae, and said that the Coen brothers "... have taken some of cinema's top and most expensive actors and chucked them into "Looney Tunes" roles in a thriller." Honeycutt also said "it takes awhile to adjust to the rhythms and subversive humor of "Burn" because this is really an anti-spy thriller in which nothing is at stake, no one acts with intelligence and everything ends badly."