"Don't." He doesn't want her to feel guilty. There's nothing she could've done. He knows how it feels to carry the weight of guilt for the things you can't change, he's been doing it for so long.
"There's nothing you could've done. And if you'd gotten here any sooner you'd probably've been ripped to shreds too." So much for their light hearted conversation!
Blood trickled from Cas's mouth. "Damn it..." He's changed his mind, maybe getting turned would've been better - at least a bullet to the brain would've been quicker. He didn't have the heart to tell Anna he couldn't feel his legs any more.